相依索赔的二项风险模型的Gerber-shiu贴现罚函数

刘东海; 刘再明; 龚日朝

相依索赔的二项风险模型的Gerber-shiu贴现罚函数

引用本文：刘东海，刘再明，龚日朝.相依索赔的二项风险模型的Gerber-shiu贴现罚函数[J].经济数学,2012,(2):35-39

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作者	单位
刘东海，刘再明，龚日朝	(1.湖南科技大学，数学与计算科学学院, 湖南湘潭411201；2.中南大学，数学与统计学院,湖南长沙410004； 3.湖南科技大学，商学院,湖南湘潭411201)

中文摘要:研究一类索赔时间相依的二项风险模型,根据索赔额的大小随机产生一副索赔.通过引入辅助模型,运用概率论的分析方法得到了任意初始值u下的Gerber-Shiu贴现罚函数,并求得了初始值为0时最终破产概率的明确表达式.最后结合保险实务进行了举例.

中文关键词:二项风险模型相依索赔副索赔贴现罚函数

The Gerber-shiu Discounted Penalty Function in the Correlated Binomial Risk Model

Abstract:This paper considered the compound binomial model with correlated claims in which every claim can produce a by-claim according to the amount of it. By means of auxiliary model and using the methods of probability, we obtained the Gerber-Shiu Discounted Penalty Function in the correlated binomial risk model . Furthermore, the explicit expression for the probability was given when the initial surplus is zero. Finally, we show some examples according to the insurance case.

keywords:binomial risk model correlated claim by-claim discount penalty function

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