几类风险模型的广义罚金折现期望函数的分析-概率论与数理统计专业论文.docxVIP

PAGE PAGE iii Abstract Since 1998, the expected discounted penalty function was first proposed by Gerber and Shiu, so the actuarial amount have been studied by many scholars. At the same time, many scholars gave the improvement about this actuarial amount. For example, Cheung et al.(2010) studied the generalized expected discounted penalty function of the classical risk model. The actuarial amount adds to an random variables of the surplus immediately after the penultimate claim befor ruin occurs. This thesis is a continuation of this research. The gnenralized expected discounted penalty function of three classes of risk model are studied. The first is the classical risk model with tax; The second is the risk model driven by a subordinator; The last one is the risk model with random income. This thesis is divided into four chapters. Chapter 1 is preface. We introduce the background of the generalized expected discounted penalty function. In chapter 2, we get an integro-differential equation for the generalized expected discounted penalty function of the classical risk model with tax. ( u 0 = λ 0 u \ B(u ? y, u)p(y)dy ? (λ + δ) φγ (u) + c(1 ? γ)φl (u) γ+λ (φ(u ? y) ? B(u ? y, u)φ(u))p(y)dy γ 0 ∞ +λ w(u, y ? u, u)p(y)dy. u the solution’s specific form of the equation: 1 1 u ∞ 1 t φγ (u) = c(1 ? γ) exp{? c(1 ? γ) t V1(s)ds} 0 u V2(t)exp{ c(1 ? γ) V1(s)ds}dt, 0 0where V1(t) = λ r 0 t V2(t) = λ 0 B(t ? y, t)p(y)dy ? (λ + δ), ∞ (φ(t ? y) ? B(t ? y, t)φ(t))p(y)dy + λ t  w(t, y ? t, t)p(y)dy ( t = λ + δ ? λ 0 \ B(t ? y, t)p(y)dy φ(t) ? cφl(t). In chapter 3, we give the equation and an ininite series expression of the generalized expected discounted penalty function of the risk process driven by a subordinator. For δ ≥ 0, an equation of the generalized expected discounted penalty function in classial risk model as follows: u 1c1φl (u) + λ1 1 φ1(u ? y)p(y)dy + λ1w1(u) = (λ1 + δ)φ1(u), 0 ∞where w1(u) = r ∞ w(u, y ? u, u)p(y)dy = r ∞ w(u, x, u)p