混合指数更新模型下平均折现惩罚函数

Expected Discounted Penalty of Mixed Exponential Renewal Process

摘要: 本文讨论了以混合指数分布为点间间距的更新风险模型下平均折现惩罚函数, 在简单条件下, 利用Dickson and Hipp (2001)中引入的变换方法, 得到了平均折现惩罚函数的Laplace变换的精确表达式.

Abstract: In this paper, the expected discounted penalty of mixed exponential renewal risk process was considered. Under some simple conditions, the explicit expression of Laplace transform of the expected discounted penalty is obtained.