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本文考虑了带多阈值两类索赔到达风险模型,在假定两类索赔到达过程均为phase-type分布时,建立了期望折现罚函数所满足的积分-微分方程.并通过拉普拉斯变换讨论了方程的解.
In this paper, two types of claims arrival risk models with multiple thresholds are considered. When the arrival of both types of claims is assumed to be phase-type distributions, the integral-differential equations satisfied by expected discounted penalty functions are established. The Laplace transform The solution to the equation is discussed.