按比例分红策略下具有常利率的泊松风险模型_Gerber_Shiu折现罚金函数.pdfVIP

28 3 ( ) V l. 28 N . 3 2008 7 J urnal f T ianjin N rmal University ( Natural Science Edit i n) Jul. 2008 : 2008) 03004 105 GerberShiu 折现罚金函数 1 2 3 4 王玲芝 , 张春生 , 占学宝 , 高庆武 ( 1. , 300222; 2. , 300071; 3. , 300110; 4. , 215006) : 根据按比例分红策略下具有常 率的古典风险过程, 得到了关于GerberShiu 折现罚金函数的积分方程并 给出了确切的解. : 复合泊松风险模型; 率; 按比例分红策略; GerberShiu 折现罚金函数; 破产时刻; 破产前瞬时盈余额; 赤字 : O 174. 5; O211. 6 : A The Poisson risk model with constant interest rate under a threshold dividend strategy GerberShiu discount ed penalty funct ion 1 2 3 4 WA N G L ingz hi , ZHA N G Chunsheng , ZH A N X uebao , GA O Qingw u ( 1. T ianjin M dern V cati nal T echn l gy C llege, Tianjin 300222, China; 2. Sch l f Mathematical Science, Nankai University, T ianjin 300071, Ch ina; 3. T ianjin Electr nic Instrum ent In dustry H ead Office, T ianjin 300110, Chin a; 4. Sch l f Mathematical Science, S ch w U niversity, Suzh u 215006, Jiangsu Pr vince, China) Abstract: An int egral equati n ab ut t he GerberShiu disc unted penalt y functi n and its precise s luti n are b tained acc rding t the classical risk pr cess w ith c nstant interest rate under a thresh ld dividend strategy. Key words: c mp und P iss n risk m del; interest rate; thresh ld dividend strategy; GerberShiu disc unted penalty functi n; time f ruin; surplus immediately bef re ruin; deficit [ 1] [ 2]