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研究了常利率投资和线性阈值分红策略下的绝对破产模型,利用全概率公式、Taylor展式求解绝对破产前累计分红现值的矩母函数和n阶矩函数的更新方程,得到Gerber-Shiu期望折现罚金函数的偏微分方程表达式.
The absolute bankruptcy model with constant interest rate investment and linear threshold dividend strategy is studied. The full mother probability formula and Taylor expansion are used to solve the moment mother function of the present value of the absolute bankruptcy before absolute bankruptcy and the update equation of the nth order moment function. The Gerber-Shiu expectation is obtained. The partial differential equation expression of the discounted penalty function.