摘要
考虑带扰动的两类索赔风险模型.两类索赔来到的计数过程分别为独立的Poisson过程和广义Erlang(n)过程.得到了此模型的罚金折扣函数的拉普拉斯变换,并且当两类索赔额分布密度的拉普拉斯变换均为有理函数时,给出了罚金折扣函数的具体表达式.
In this paper, the ruin problems for a perturbed risk model with two classes of claims are considered. It is assumed that the corresponding claim computation processes are either independent Poisson process or generalized Erlang（n） process. The Laplace transforms of the GerberShiu discounted penalty functions are obtained. If the densities of the two classes of claim distributions have rational Laplace transforms, explicit expressions for the Gerber-Shiu discounted penalty functions are given.
出处
《高校应用数学学报（A辑）》
CSCD
北大核心
2010年第3期263-272,共10页
Applied Mathematics A Journal of Chinese Universities(Ser.A)
基金
国家自然科学基金(10771119)
关键词
风险模型
破产概率
罚金折扣函数
拉普拉斯变换
risk model
ruin probability
Gerber-Shiu discounted penalty function
Laplace transform
