华中师范大学学报（自然科学版）2011，Vol.45Issue(1)：6-10,5.
复合Poisson风险模型下的Gerber-Shiu期望折现罚金函数
The Gerber-Shiu expected discounted penalty function of the compound Poisson risk model
摘要
Abstract
Ruin theory is the core of risk theory, the compound Poisson risk model is always the hotspot area to be studied in ruin theory. Considering the fact, this paper, on one hand, considered the investment income; on the other hand, considered insurant＇ s interest while satisfying insurer＇s requirement to increase surplus presented the compound Poisson risk model with two dividend threshold strategies and constant interest force. This paper provided a recursive approach to obtain general solution to the integral-differential equation of the Gerber-Shiu expected discounted penalty function when δ=0.关键词
复合Poisson风险模型/常利息力/红利/threshold策略/Gerber-Shiu期望折现罚金函数/积分-微分方程Key words
compound Poisson risk model/ constant interest force/ dividend/ threshold strategy/ Gerber-Shiu expected discounted penalty function/ integral-differential equation分类
数理科学引用本文复制引用
关树明,李波,郭红..复合Poisson风险模型下的Gerber-Shiu期望折现罚金函数[J].华中师范大学学报（自然科学版）,2011,45(1):6-10,5.基金项目
国家自然科学基金项目(70871050). （70871050）
