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
DOI: 10.12677/SA.2016.51005, PDF,    国家自然科学基金支持
作者: 贺婷, 吴黎军：新疆大学数学与系统科学学院，新疆 乌鲁木齐
关键词: 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
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。
Abstract: 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.
文章引用：贺婷, 吴黎军. 基于常利率投资和线性阈值分红策略下的绝对破产模型[J]. 统计学与应用, 2016, 5(1): 39-47. https://dx.doi.org/10.12677/SA.2016.51005

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