| 引用本文： |
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方世祖,朱双喜.支付红利的双险种复合二项风险模型的Gerber-Shiu折现罚金函数[J].广西科学,2012,19(4):297-301. [点击复制]
- FANG Shi-zu,ZHU Shuang-xi.The Gerber-Shiu Discounted Penalty Function in the Do-uble Type-insurance Compound Binomial Risk Model with Randomized Decisions on Paying Dividend[J].Guangxi Sciences,2012,19(4):297-301. [点击复制]
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| 摘要: |
| 对支付红利的双险种复合二项模型,考虑当盈余大于或等于一个给定的非负红利界时保险公司以一定概率给股东分红的情形,利用更新理论,得到该模型的Gerber-Shiu折现罚金函数满足的瑕疵更新方程及其渐近表达式,并给出破产概率、破产时破产赤字分布和破产前瞬时盈余的概率函数的递推公式及其渐近表达式. |
| 关键词: 双险种复合二项模型 Gerber-Shiu折现罚金函数 瑕疵更新方程 渐近表达式 破产概率 |
| DOI： |
| 投稿时间：2012-07-26 |
| 基金项目:国家自然科学基金项目(11061002);广西教育厅科研项目(201010LX004)资助。 |
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| The Gerber-Shiu Discounted Penalty Function in the Do-uble Type-insurance Compound Binomial Risk Model with Randomized Decisions on Paying Dividend |
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FANG Shi-zu, ZHU Shuang-xi
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| (College of Mathematics and Information Science, Guangxi University, Nanning, Guangxi, 530004, China) |
| Abstract: |
| In this paper, we study the double type-insurance compound binomial risk model.The insurer pays dividends to shareholders with a probability when the surplus is greater than or equal to a non-negative dividend-line.We derive the defective renewal equation and the asymptotic expressions for the Gerber-Shiu discounted penalty function by using the renewal theory.The recursion formulas and asymptotic expressions for the ruin probability, the probability function of the severity of ruin, and the surplus prior to the ruin time are obtained. |
| Key words: double type-insurance compound binomial risk model Gerber-Shiu discounted penalty function defective renewal equation asymptotic expression ruin probability |
