带注资与障碍分红策略的复合泊松风险模型
首发时间:2019-04-22
摘要:本指带注资与障碍分红策略的复合泊松风险模型指数分布观测时间下带注资与障碍分红策略的复合泊松风险模型指数分布观测时间下带注资与障碍分红策略的复合泊松风险模型指数分布观测时间下带注资与障碍分红策略的复合泊松风险模型数分布观测时间下带注资与障碍分红策略的复合泊松风险模型文假定只在离散时间点对保险公司的盈余水平进行观测,并且进一步假定观测间隔时间服从指数分布,通过引入注资策略和障碍分红策略提出了一个新的风险模型。并通过该风险模型的Gerber-Shiu函数以及期望折现注资函数和期望折现分红函数,对该模型的破产变量进行的相应的研究。
关键词: 注资策略 障碍分红策略 Gerber-Shiu函数 期望贴现注资函数 期望贴现分红函数
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Compound Poisson model with capital injection and barrier dividend strategies
Abstract:We assume that the surplus level of an insurance company can only be observed at discrete time points, then a new risk model is proposed in this paper by introducing periodic capital injection strategy and barrier dividend strategy into the classical risk model. We deduce the explicit expressions of the Gerber-Shiu function by assuming that the inter-observation times are exponential distributed, respectively. In addition, the expected discounted capital injection and the expected discounted dividend functions are studied.
Keywords: Periodic capital injections strategy Barrier dividend strategy Gerber-Shiu function the Expected discounted dividends function the Expected discounted injections function
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