Ӧ�ø���ͳ�� 2011, 27(5) 543-560 DOI:      ISSN: 1001-4268 CN: 31-1256

����Ŀ¼ | ����Ŀ¼ | ������� | �߼�����                                                            [��ӡ��ҳ]   [�ر�]
ѧ������
 ��չ���� ������Ϣ Supporting info PDF(258KB) [HTMLȫ��] �ο�����[PDF] �ο����� �����뷴�� �ѱ����Ƽ������� �����ҵ���� �������ù����� ���ñ��� Email Alert ���Ĺؼ���������� ��������������� PubMed
Threshold�ֺ�����´����ŵ������������ģ�͵�Geber-Shiu����
�����,�Ŵ���,������
���ũѧԺ������ѧϵ,�Ͽ���ѧ��ѧѧԺ,��ʿ��ɣ��ѧ����ϵ
ժҪ��

�����о�����threshold�ֺ�����´����ŵ������������
ģ�͵�Geber-Shiu����. ����������������������Ϊ�����ĸ��¹���,
����һ��ΪPoisson������һ��Ϊʱ�������ӹ���Erlang(2)�ֲ��ĸ��¹���.
���ĵõ���threshold�ֺ������Gerber-Shiu����������Ļ���--΢�ַ��̼���߽�����.
���, ����ָ��threshold�ֺ������Gerber-Shiu���������ɲ��ֺ�(��:
$\fn_jvn \100dpi \inline b=\infty$)ʱ����Ӧ��Geber-Shiu������һ����λ���--΢�ַ��̵����Զ������ʾ����.

�ؼ�����
The Gerber-Shiu Penalty Functions for a Perturbed Risk Model with Two Classes of Risks and a Threshold Dividend Strategy
Sun Guohong,Zhang Chunsheng,Ji Lanpeng
Tianjin Agricultural College,Nankai University,University of Lausanne
Abstract:

In this paper, we study the perturbed risk
model with two classes of claims and a threshold dividend strategy.
We assume that the two claim counting processes are, respectively,
Poisson and renewal process with generalized Erlang(2) inter-claim
times. Integro-differential equations and certain boundary
conditions satisfied by the Gerber-Shiu penalty functions are
derived in terms of matrices. Finally, we show that the closed form
for the Gerber-Shiu penalty functions can be expressed by the
Gerber-Shiu penalty functions without dividend payments and the
matrix composed of two linearly independent solutions to the
corresponding homogeneous integro-differential equations.

Keywords:
�ո�����  �޻�����  ����淢������
DOI:
������Ŀ:

ͨѶ����: �����
���߼��:
����Email:

�ο����ף�
�����е���������