带干扰保费随机化风险模型-毕业论文.docVIP

/  /  ” ”  ” ” N1(t)  N2(t) U(t) = u +  i=1 Xi ?  i=1 Yi + W (t)  2.1.1  ∞  u DR′′(u) = (λ1 + λ2)R(u) ? λ1  0 R(u + x)dF1(x) ? λ2  0 R(u ? x)dF2(x).  2.2.1 λ2b ? λ1a 0, R(u) = C0 + C1e?r1u + C2e?r2u + C3e?r3u, r1, r2, r3 Dr3 + (b ? a)Dr2 + (Dab + λ1 + λ2)r + (λ1a ? λ2b) = 0, C0, C1, C2, C3  a, b D = 0, F1, F2 R(u) 2.2.1 D = 0,F1(v) = 1 ? e?bv, F2(y) = 1 ? e?ay, λ2b ? λ1a 0  R(u) = 1 ?  (λ1 + λ2)a  e 1 2 .  3.2.1  ∞  (1) (2) R(u) =  n=0 (n+1) (n)  i 3.3.1  R(u)  R(s) =  pG1 1 ? (1 ? p)G1G2(s)  .  R(u) ≤ G1(u)(1 ? a?e?ru),  a? = inf  eruF U(u) ∞ ry u  ,u  ∈ [0, x0].  Lundberg ii Abstract The thesis is divided into three sections according to contents. In chapter 1, we introduce the importance of the main contents of this paper. In chapter 2, we introduce the following model:  N1(t)  N2(t) U(t) = u +  i=1 Xi ?  i=1 Yi + W (t). The survival probability of this model is studied. We state the main results as follows: Theorem 2.1.1 The survival probalility R(u) satis?es an equation ∞ u ′′  0 R(u + x)dF1(x) ? λ2  0 R(u ? x)dF2(x). We also got Theorem 2.2.1 Let F1(v) = 1 ? e?bv (v 0), F2(y) = 1 ? e?ay (y 0), a, b 0, λ2b ? λ1a 0, then R(u) = C0 + C1e?r1u + C2e?r2u + C3e?r3u, where r1, r2, r3 are the roots of the following equation, Dr3 + (b ? a)Dr2 + (Dab + λ1 + λ2)r + (λ1a ? λ2b) = 0, C0, C1, C2, C3 are consts. In particular we got Corollary 2.2.1 If D = 0, F1(v) = 1 ? e?bv, F2(y) = 1 ? e?ay, λ2b ? λ1a 0, then  R(u) = 1 ?  (λ1 + λ2)a  e 1 2 . In chapter 3, we studied the model by a new method, and we got the P-K formula, which is  ∞ R(u) =  n=0 ?(n+1) ?(n) (u). From which we got the Laplace transform of R(u): Theorem 3.3.1 The Laplace transform of R(u) is  R(s) =  pG1 1 ? (1 ? p)G1G2(s) iii  . From which we got R(u) ≤ G1(u)(1 ? a?e?ru), where  a? = inf  eruF U(u) ∞ ry u  , u ∈ [0, x0]. And we also got some other results. Keywords: risk model; Brownian motion; compoud geometric distrib