常利率环境下带扰动的广义Erlang（n）风险过程的Gerber-Shiu函数问题

摘要

在常利率环境条件下研究在带扰动的广义Erlang（ n）风险过程中保险公司的Gerber-Shiu函数问题。在障碍策略下，得出其矩母函数所满足的积分-微分方程及方程的边界条件和Gerber-Shiu函数所满足的积分-微分方程及方程的边界条件。%We consider the Gerber-Shiu function in a generalized Erlang( n )risk process perturbed by diffusion with a constant interest under a dividend barrier strategy. Under such a strategy,Integro-differential equations with certain boundary conditions for the moment generating functions and the Gerber-Shiu function are derived.