摘要
考虑具有随机收入和扩散干扰的相型风险模型的期望折现罚函数,建立期望折现罚函数满足的积分-微分方程.假设随机收入量服从超指数分布时,利用Dickson-Hipp算子和差商理论,得到期望折现罚函数的拉普拉斯解.
The expected discounted penalty function in the phase-type risk model with stochastic income and diffusion was considered. The integro-differential equations satisfied by the expectation of discounted penalty function were obtained. When the gain follows an hyper-exponential distribution, the Laplace solutions of the expectation of discounted penalty function are given by utilizing Dickson-Hipp operator and divided difference.
作者
黎琴
LI Qin(School of Business,St.Paul University Philippines,Tuguegarao 3500,Philippines)
出处
《湖南理工学院学报（自然科学版）》
CAS
2021年第4期5-9,42,共6页
Journal of Hunan Institute of Science and Technology(Natural Sciences)
关键词
相型风险模型
随机收入
扩散干扰
超指数分布
phase-type risk model
stochastic income
diffusion
hyper-exponential distribution
