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- 2015
具有PH(n)理赔时间间隔的Sparre-Andersen 模型中的分红问题
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Abstract:
摘要： 假设盈余过程描述为Sparre-Andersen模型, 理赔时间间隔服从PH(n)分布, 分红只在一些随机的观测时间支付, 分红策略为障碍策略,得到了期望折现分红和破产时间Laplace变换所满足的积分-微分方程组,并在n=2和指数理赔的假设下给出了方程组的求解方法。
Abstract: Assuming that the surplus process is described by a Sparre-Andersen model, the interclaim times are PH(n) distributed, dividends can only be paid at some randomized observation times and the dividends are paid according to a barrier strategy, the integro-differential equations for the expected discounted dividends and the Laplace transform of ruin time were derived. The solutions of the equations were given with exponentially distributed claims and n=2
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