摘要
考虑了具有常红利边界和延迟索赔的一类离散更新风险模型,其中间隔索赔到达时间从离散phase-type分布.定义了两种类型的索赔:主索赔和副索赔,主索赔以一定的概率引起副索赔且副索赔会以一定的概率被延迟到下一时段.通过引入辅助风险模型,推导了破产前红利折现期望满足的差分方程及其解.最后给出了当索赔额服从几何分布时的有关数值例子.
We consider a discrete renewal risk model with constant dividend barrierand delayed claims, in which the inter-claim arrival time follows discrete phase-typedistribution. Two types of individual claims, main claims and by-claims, are defined, where every by-claim is induced by the main claim with a certain probability and may be delayed for one time period with a certain probability. By introducing a supplementary risk model, a system of difference equations with certain boundary conditions for the expected present value of the dividend payments due until ruin is derived and solved. Numerical results are given for a special claim-size distribution：the geometric distribution.
出处
《数学学报（中文版）》
SCIE
CSCD
北大核心
2011年第6期973-982,共10页
Acta Mathematica Sinica：Chinese Series
基金
国家自然科学基金项目(10971230)
