王传玉, 王健, 胡莎娜. 常利率环境下带扰动的广义Erlang(n)风险过程中红利问题[J]. 云南大学学报(自然科学版), 2015, 37(2): 180-186. doi: 10.7540/j.ynu.20140560
引用本文: 王传玉, 王健, 胡莎娜. 常利率环境下带扰动的广义Erlang(n)风险过程中红利问题[J]. 云南大学学报(自然科学版), 2015, 37(2): 180-186. doi: 10.7540/j.ynu.20140560
WANG Chuan-yu, WANG Jian, HU Sha-na. The dividends problems of ruin in a generalized Erlang(n) risk process perturbed by diffusion with interest[J]. Journal of Yunnan University: Natural Sciences Edition, 2015, 37(2): 180-186. DOI: 10.7540/j.ynu.20140560
Citation: WANG Chuan-yu, WANG Jian, HU Sha-na. The dividends problems of ruin in a generalized Erlang(n) risk process perturbed by diffusion with interest[J]. Journal of Yunnan University: Natural Sciences Edition, 2015, 37(2): 180-186. DOI: 10.7540/j.ynu.20140560

常利率环境下带扰动的广义Erlang(n)风险过程中红利问题

The dividends problems of ruin in a generalized Erlang(n) risk process perturbed by diffusion with interest

  • 摘要: 在常利率环境条件下研究带扰动的广义Erlang(n)风险过程中保险公司的红利问题.在障碍策略下,得出其矩母函数所满足的积分-微分方程及方程的边界条件和红利所满足的积分-微分方程及方程的边界条件.最后,给出V1(u,b)的表达式并进行数值分析.

     

    Abstract: We consider a generalized Erlang(n) risk process perturbed by diffusion with a constant interest under a dividend barrier strategy.Under such a strategy,Integro-differential equations with certain boundary conditions for the moment generating functions and moment functions of the present value of all dividends paid until ruin are derived.Some special cases for V1(u,b) are considered in details and a numerical solution.

     

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