标题:
基于常利率投资和线性阈值分红策略下的绝对破产模型The Absolute Ruin Risk Model with Constant Interest Investment and a Linear Threshold Dividend Strategy
作者:
贺婷, 吴黎军
关键字:
线性分红阈值, 绝对破产, 常利率投资, 更新方程, Gerber-Shiu期望折现罚金函数Linear Threshold Dividend, Absolute Ruin Risk Model, Gerber-Shiu Function, Renewal Equation
期刊名称:
《Statistics and Application》, Vol.5 No.1, 2016-03-31
摘要:
在本文中，我们研究基于常利率投资和线性阈值分红策略下的经典的绝对风险破产模型和带干扰的绝对破产风险模型问题。首先，本文得到累计分红现值的矩母函数和累计分红现值的n-阶矩函数的更新方程。然后，著名的Gerber-Shiu期望折现罚金函数所满足的更新方程及边界条件采用类似的方法也可以获得。
In this paper, the classical absolute ruin risk model and that model with interference are re-searched based on constant interest investment and a linear threshold barrier dividend strategy. First, renewal equations of moment-generating function and n-th moment with present value of total dividends until absolution ruin are obtained. Second, partial integro-differential equations of Gerber-Shiu function are given.