带分红的Sparre Andersen模型的期望折扣罚函数.pdf

河北工业大学 硕士学位论文 带分红的Sparre Andersen模型的期望折扣罚函数 姓名：李拴柱 申请学位级别：硕士 专业：应用数学 指导教师：刘国欣 Sparre Andersen Sparre Andersen Shuanming Li Jos´e Garrido[20] b Elang(n) ( n ℄) ℄ - . . ÆÆ Sparre Andersen ℄ - . : Sparre Andersen ℄ - i Sparre Andersen THE PENALTY FUNCTION OF SPARRE ANDERSEN MODEL WITH A THRESHOLD DIVIDEND STRATEGY ABSTRACT In this paper,we consider a Sparre Andersen risk model with a dividend barrier. The complete dividend notion proposed by Shuanming Li and Jos´e Garrido[20]with the assumption that the surplus is above b is extended to the situation of dividend by proportion. Then we discussed the bound- ary condition which the expected discounted penalty function satisfies,when claim waiting times are generalized Elang(n) distributed(i.e.,convolution of n exponential distributions with possibly different parameters).Moreover, we give the integro-differential equation which the expected discounted penalty function satisfied. This paper includes four chapters. In the first chapter, the relative back- ground on this paper is given. The preparatory knowledge underlying this paper and the model we consider in this paper are introduced in the second one. The third chapter is