摘要
研究了一类相依的双险种风险模型,其中第一类险种的索赔到达计数过程为E lang(2)过程,第二类险种的索赔到达计数过程为其p-稀疏过程.首先通过更新论证的方法得到罚金折现期望满足的积分-微分方程,然后推导拉普拉斯变换的表达式,并就索赔额服从指数分布的情形得到了罚金折现期望的精确表达式.
We consider a risk model with dependent two classes, where the claim number process of the first class is Erlang （2） process, and the second is its p-thinning process. At first, we get the integro-differential equation satisfied by the expected discounted penalty function by using the method of renewal, and hence Laplace transform of it is derived. Explicit result is derived when the claims of both classes are exponentially distributed.
出处
《数学的实践与认识》
CSCD
北大核心
2008年第22期40-45,共6页
Mathematics in Practice and Theory
基金
安徽省高等学校省级自然科学研究项目(KJ2007B183)
