有多重门限分红策略的泊松风险模型期望折现罚金函数

摘要

对一类带干扰且有多重门限分红策略的泊松风险模型,运用随机分析方法得到了Gerber期望折现罚金函数φb(u)满足的逐段积分-微分方程；在索赔额服从指数分布的情况下,求得φb(u)满足的条件.%By a class of Poisson risk model with disturbance and multi-layer dividend strategy,the integral differential equation which satisfied the expected discounted penalty function Φb(u) was obtained on the basis of the stochastic analytic theory. The conditions of ΦB(U) was also presented under the exponential distribution of claims amount.