Interest-Bearing Surlus Model with Liquid Reserves
Interest-Bearing Surlus Model with Liquid Reserves
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发表时间：
2010
影响因子：
0.4
通讯作者：
Kristina P. Sendova;Yanyan Zheng
中科院分区：
文献类型：
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作者：
Kristina P. Sendova;Yanyan Zheng
我们考虑一个破产模型，其中保险公司的盈余过程被构造为使得当前盈余的一部分在任何时候都保持可用，而剩余的部分用于投资。资本的前一部分被称为“流动准备金”。本文研究了破产时罚金折现期望函数。首先，我们得到一个积分微分方程所满足的Gerber-Shiu函数。其次，我们应用拉普拉斯变换的方程，并减少到一个一阶线性微分方程的功能问题。最后，我们找到一个明确的形式Gerber-Shiu函数考虑指数索赔。
We consider a ruin model where the surplus process of an insurance company is constructed so that part of the current surplus is kept available at all times and the remaining part is invested. The former portion of the capital is called “liquid reserves.” In this paper, we study the expected discounted penalty function at ruin. First, we derive an integro-differential equation satisfied by the Gerber-Shiu function. Second, we apply Laplace transforms to the equation and reduce it to a first order linear differential equation for the function in question. Finally, we find an explicit form of the Gerber-Shiu function by considering exponential claims.