孙传光, 王春伟. 一类带扰动风险模型的Gerber-Shiu函数[J]. 应用概率统计, 2010, 26(6): 577-588.
引用本文: 孙传光, 王春伟. 一类带扰动风险模型的Gerber-Shiu函数[J]. 应用概率统计, 2010, 26(6): 577-588.
shu
Sun Chuanguang, Wang Chunwei. The Gerber-Shiu Function in a Risk Model Perturbed by Diffusion[J]. Chinese Journal of Applied Probability and Statistics, 2010, 26(6): 577-588.
Citation: Sun Chuanguang, Wang Chunwei. The Gerber-Shiu Function in a Risk Model Perturbed by Diffusion[J]. Chinese Journal of Applied Probability and Statistics, 2010, 26(6): 577-588.
shu

一类带扰动风险模型的Gerber-Shiu函数

The Gerber-Shiu Function in a Risk Model Perturbed by Diffusion

    摘要
  • 摘要: 本文研究了一类带扰动风险模型,得到了此过程下Gerber-Shiu函数的微分积分方程, 并得到了推广Erlang(2)情形下Gerber-Shiu函数满足的更新方程

     

    Abstract: In this paper we consider a risk process perturbed by diffusion and obtain the integro-differential equation for the Gerber-Shiu expected discounted penalty function. Furthermore, we prove that the Gerber-Shiu function satisfies a certain renewal equation in the case of the generalized Erlang(2)

     

    • HTML全文
    • 参考文献(0)
    • 相关文章
    • 施引文献
  • 资源附件(0)

/

返回文章
返回