摘要
主要讨论了带干扰的广义Erlang(n)风险模型破产前首次达到给定水平的时间的拉普拉斯变换.推导并解出这一拉普拉斯变换所满足的具有一定边界条件的积分-微分方程,当索赔服从指数分布时,给出了显式解.
The generalized Erlang（n） risk model perturbed by diffusion is considered and the Laplace transform of the first time to attain the specified level prior to ruin is discussed mainly. A homogeneous integro-differential equation for this Laplace transform is derived and solved with certain boundary conditions. Finally, explicit expressions are given when the individual claim sizes are rationally distributed.
出处
《南开大学学报（自然科学版）》
CAS
CSCD
北大核心
2010年第4期106-112,共7页
Acta Scientiarum Naturalium Universitatis Nankaiensis
基金
Supported by the Natural Science Foundation of Tianjin(08JCYBJC02200)
the Natural Science Foundation of China(10871102)
National Basic Research Program of China(973 Program) (2007CB814905)
