摘要
研究了一类有界带干扰的Erlang(2)风险模型边界红利策略下的红利分布问题,得到了总红利贴现值的矩母函数及任意阶矩所满足的积分—微分方程,并在索赔额分布函数存在有理Laplace变换条件下对总红利贴现值的任意阶矩进行了分析求解.
The paper presents some results of the distribution of dividend payments until ruin under the Erlang（2） risk model perturbed by diffusion with a constant dividend barrier. Two integro-differential equations for the moment-generating function and arbitrary moments of the discounted sum of dividend payments until ruin are derived. And we solve the equation for arbitrary moments of it when the individual claim amounts have adistribution with rational Laplace transform.
出处
《西南民族大学学报（自然科学版）》
CAS
2008年第3期450-454,共5页
Journal of Southwest Minzu University(Natural Science Edition)
基金
河南大学自然科学基金资助项目(06YBZR029
06YBZR050)
关键词
风险模型
Erlang(2)分布
红利贴现值
矩母函数
risk model
Erlang（2） distribution
present value of dividend payments
moment-generating function
