带投资和障碍分红的破产时刻Laplace变换

1)西京学院医学院,陕西西安 710123; 2)西京学院理学院,陕西西安 710123

运筹学; 对策论; 复合Poisson-Geometric过程; 风险投资; 障碍分红; Gerber-Shiu函数; 破产时刻Laplace变换

The Laplace transform of ruin time with investment and barrier dividend
SUN Zongqi1 and YANG Peng2

1)Medical College, Xijing University, Xi'an 710123, Shaanxi Province, P.R.China2)College of Science, Xijing University, Xi'an 710123, Shaanxi Province, P.R.China

operations research; game theory; compound Poisson-Geometric process; venture capital investment; barrier dividend; Gerber-Shiu function; Laplace transform of ruin time

DOI: 10.3724/SP.J.1249.2021.02214

备注

考虑复合Poisson-Geometric风险下带有投资和障碍分红的Gerber-Shiu函数问题,运用全期望公式得到复合Poisson-Geometric风险下带投资和障碍分红的Gerber-Shiu函数所满足的微分-积分方程.在指数分布假设下,得到带投资和障碍分红的保险公司破产时刻Laplace变换的显式解.

In order to study the Gerber-Shiu function for a compound Poisson-Geometric risk model with investment and barrier dividend, we obtain the differential-integral equation of the Gerber-Shiu function by using the method of total expectation formula. Under the assumption of exponential distribution, the explicit solution of the Laplace transform of ruin time of insurance company with investment and barrier dividend is given.

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