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基于相依风险模型下的阈值分红策略的若干问题研究
The Research of Some Problems about Threshold Dividend Strategy Based on Dependent Risk Model
【作者】 花兆秀；
【导师】 牛明飞；
【作者基本信息】 兰州大学 ， 应用数学， 2009， 硕士
【摘要】 首先介绍带有阈值分红的索赔额相依风险模型,然后给出Gerber-Shiu折现罚金函数满足的积分微分方程及其解的分析,最后给出红利折现期望满足的齐次积分微分方程.
【Abstract】 At first,a threshold dividend strategy in a risk model with interclaim-dependent claim sizes is introduced.Then,an integro-differeential equation for the Gerber-Shiu discounted penalty function in this risk model is derived,and the solution to the Gerber-Shiu discounted penalty function is analyzed.Finally,an homogeneous integro-differential equation for the expected discounted dividend payments before ruin is derived.