摘要
研究常数红利边界下两类索赔相关的风险模型,两类索赔计数过程分别为独立的Poisson过程和广义Erlang(2)过程.利用分解Gerber-Shiu函数的方法,得到了Gerber-Shiu函数满足的积分-微分方程、边界条件、解析表达式及两类索赔额均服从指数分布时的破产概率表达式.
A risk model with two dependent classes of insurance business was considered in the presence of a constant dividend barrier. Claim occurrence of both classes relates to Poisson and generalized Erlang（2） processes. Integro-differential equations and boundary conditions for the Gerber-Shiu expected discounted penalty functions and the explicit expression of the Gerber-Shiu expected discounted penalty functions were derived by decompounding the Gerber-Shiu function. In particular, explicit results of ruin probability were obtained when the claims from both classes were exponentially distributed.
出处
《经济数学》
2013年第1期22-26,共5页
Journal of Quantitative Economics
