带常利率的时间间隔为相位的Gerber-Shiu折现罚金函数.pdfVIP

Pure Mathematics 理论数学, 2014, 4, 144-150 Published Online July 2014 in Hans. /journal/pm /10.12677/pm.2014.44022 The Gerber-Shiu Discounted Penalty Function for the Risk Model with Phase-Type Inter Claim Times Juxia Xiao School of Mathematics and Computer Science, Shanxi Normal University, Linfen Email: xiaojuxia2426@126.com th th th Received: Jun . 12 , 2014; revised: Jul. 10 , 2014; accepted: Jul. 17 , 2014 Copyright © 2014 by author and Hans Publishers Inc. This work is licensed under the Creative Commons Attribution International License (CC BY). /licenses/by/4.0/ Abstract Research in the phase-type distribution has an important influence for the research of other dis- tributions on the positive real axis. It considers the risk model with the phase-type inter-claim times and for constant interest, it first derives the integral-differential equation satisfied by the Gerber-Shiu discounted penalty function. Then through a series of deriving, it obtains the volterra integral equation in a form of matrix. It gets a method of solving the Gerber-Shiu expected penalty function. Keywords Phase-Type Inter-Claim Times, Constant, Integral Function, Differential Equation, Volterra 带常利率的时间间隔为相位的Gerber-Shiu折现 罚金函数 肖菊霞 山西师范大学数学与计算机科学学院，临汾 Email: xiaojuxia2426@126.com 收稿日期：2014年6月12 日；修回日期：2014年7月10 日；录用日期：2014年7月17 日 144 带常利率的时间间隔为相位的Gerber-Shiu 折现罚金函数 摘 要 相位分布的研究在研究正半轴的其他分布中起着重要作用。考虑带常利率的时间间隔为相位分布的更新 风险模型。首先推导出Gerber-Shiu期望折现罚金函数满足的积分微分方程，然后经过一系列的推导过 程得到Volterra形式的矩阵积分方程，从而得到Gerber-Shiu期望折现罚金函数的一种解法。 关键词 时间间隔为相位分布，常利率，积分方程，微分方程，Volterra 1. 引言 带常利率的更新风险模型， 时