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常分红壁下相依对偶模型的G-S函数
  • ISSN号：0465-7942
  • 期刊名称：《南开大学学报：自然科学版》
  • 时间：0
  • 分类：O211.6[理学—概率论与数理统计;理学—数学]
  • 作者机构：[1]包头师范学院数学科学学院,内蒙古包头014030, [2]南开大学数学科学学院,天津300071
  • 相关基金：国家自然科学基金（11171164）; 内蒙古自治区自然科学基金（2013MS0101）; 包头师范学院基金（BSYKJ-2012-21）
作者： 薛英[1], 刘鹏[2]
关键词： 常分红壁, 相依对偶模型, FGM, Copula, Gerber-Shiu期望折现罚金函数, constant dividend barrier, dual risk model with dependence, Farlie-Gumbel-Morgenstern copula, Gerber-Shiu expected discounted penalty function
中文摘要：

考虑了索赔时间间隔和接下来的索赔额具有相依关系的对偶型,其相依关系由FGM copula描述.在其具有常分红壁的前提下,推导出了G-S函数所满足的积分微分方程,并给出了其满足的更新方程.

英文摘要：

The dual risk model with a constant dividend barrier is considered and it＇s dependence structure is constructed by FGM copula.The Integro-differential equations satisfied by Gerber-Shiu expected discounted penalty function is derived.By solving it,the expression of the form of renewal equation is given.

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期刊信息
  • 《南开大学学报：自然科学版》
  • 中国科技核心期刊
  • 主管单位:教育部
  • 主办单位:南开大学
  • 主编：田建国
  • 地址：天津南开区卫津路94号
  • 邮编：300071
  • 邮箱：
  • 电话：022-23501681
  • 国际标准刊号：ISSN：0465-7942
  • 国内统一刊号：ISSN：12-1105/N
  • 邮发代号:6-174
  • 获奖情况:
  • 中国期刊方阵“双效”期刊
  • 国内外数据库收录:
  • 俄罗斯文摘杂志,美国化学文摘（网络版）,德国数学文摘,英国动物学记录,中国中国科技核心期刊,中国北大核心期刊（2004版）,中国北大核心期刊（2008版）,中国北大核心期刊（2011版）,中国北大核心期刊（2014版）,中国北大核心期刊（2000版）
  • 被引量:4822