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| 具有随机收入的扰动更新风险模型 |
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胡燕1,2, 肖和录1,2, 乐胜杰1,2, 邓迎春1,2
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1.湖南师范大学数学与计算机科学学院, 湖南 长沙 410081;2.湖南师范大学高性能计算与随机信息处理省部共建教育部重点实验室, 湖南 长沙 410081
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| 摘要: |
| 本文研究了一类随机收入的扰动更新风险模型的破产问题. 运用拉普拉斯变换以及拉格朗日差值公式得到了Gerber-Shiu函数的拉普拉斯变换的渐近表达式, 推广了文献[4]中的结论. |
| 关键词: Gerber-Shiu折罚函数 拉普拉斯变换 随机收入 |
| DOI： |
| 分类号:O211.9 |
| 基金项目:Supported by Key Laboratory of High Performance Computing and Stochastic Information Processing |
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| THE PERTURBED RENEWAL RISK MODEL WITH STOCHASTIC INCOME |
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HU Yan1,2, XIAO He-lu1,2, YUE Sheng-jie1,2, DENG Ying-chun1,2
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1.College of Mathematics and Computer Science, Hunan Normal University, Changsha 410081, China;2.Key Laboratory of High Performance Computing and Stochastic Information Processing, Ministry of Education of China, Hunan Normal University, Changsha 410081, China
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| Abstract: |
| In this paper, the ruin problems under stochastic income in the perturbed renewal risk model are considered. By using Laplace transform and Lagrange interpolation formula, the asymptotic results for Gerber-Shiu function are derived when the individual stochastic premium sizes are exponentially distributed, which generalize the results of [4]. |
| Key words: Gerber-Shiu discounted penalty function Laplace transform stochastic income |
