共查询到18条相似文献,搜索用时 93 毫秒
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应用逐段决定马尔可夫过程理论及补充变量技巧,使Markov-modulated风险过程成为齐次强马尔可夫过程,然后利用强马氏性及首达时间分布给出了其破产前最大盈余额与破产赤字的联合分布. 相似文献
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本文研究广泛的一类连续时间风险模型盈余过程的马氏性,得到了盈余过程成为马氏过程的充分必要条件.首次建立了索赔到达间隔为离散型分布的连续时间风险模型.并对两个基本特例得到了破产概率的准确表达式. 相似文献
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《数学的实践与认识》2013,(22)
利用可靠性理论,研究了两个同型部件和一个修理工组成的可修型温贮备系统.假设两个部件的工作寿命、贮备寿命、故障后的修理时间和贮备故障后的修理时间均服从不同的指数分布,在工作故障和贮备故障都不能修复如新的情况下,运用几何过程理论、拉普拉斯变换和补充变量方法得出该模型的一些可靠性指标. 相似文献
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本文主要考虑了一类逐段决定的风险模型的罚金函数.利用建立的积分一微分方程,我们得出了此类风险模型罚金函数期望的一般解. 相似文献
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本文主要考虑了一类逐段决定的风险模型的罚金函数.利用建立的积分-微分方程,我们得出了此类风险模型罚金函数期望的一般解. 相似文献
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古典风险模型下的绝对破产 总被引:1,自引:1,他引:0
在古典绝对破产模型下盈余过程为是逐段决定马尔可夫过程.根据逐段决定马尔可夫过程具有马氏性和强马氏性,本文推导出了在古典风险模型下绝对破产概率的一个明确表达式. 相似文献
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In this paper,we consider the dividend problem in a two-state Markov-modulated dual risk model,in which the gain arrivals,gain sizes and expenses are influenced by a Markov process.A system of integrodifferential equations for the expected value of the discounted dividends until ruin is derived.In the case of exponential gain sizes,the equations are solved and the best barrier is obtained via numerical example.Finally,using numerical example,we compare the best barrier and the expected discounted dividends in the two-state Markov-modulated dual risk model with those in an associated averaged compound Poisson risk model.Numerical results suggest that one could use the results of the associated averaged compound Poisson risk model to approximate those for the two-state Markov-modulated dual risk model. 相似文献
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We establish the optimality of structured replacement policies for a periodically inspected system that fails silently whenever the cumulative number of shocks, or the magnitude of a single shock it has received, exceeds a corresponding threshold. Shocks arrive according to a Markov-modulated Poisson process which represents the (controllable or uncontrollable) environment. 相似文献
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本文研究随机环境下带随机利率的复合Pascal风险模型破产概率上界估计,对利率和费率分别按两个马氏环境变化的Pascal风险模型,给出破产概率满足的不等式. 相似文献
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This paper considers a Markov-modulated jump-diffusion risk model with randomized observation periods and threshold dividend. A second order integro-differential system of equations that characterizes the expected discounted dividend payments is obtained. As a closed-form solution does not exist, a numerical procedure based on the sinc function approximation through a collocation method is proposed. Finally, an example illustrating the procedure is presented. 相似文献
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We obtain complete asymptotic expansions for the distribution of the crossing number of a strip in n steps by sample paths of a random walk defined on a finite Markov chain. We assume that the Cramér condition holds for the distribution of jumps and the width of the strip grows with n. The method consists in finding factorization representations of the moment generating functions of the distributions under study, isolating the main terms in the asymptotics of the representations, and inverting those main terms by the modified saddle-point method. 相似文献
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用随机过程的轨道,严格地刻划了Markov调制风险模型U=(Q,G,F;J,s,X),它是已有的Markov调制风险模型的一般化.基于模型U,分别给出带保费率向量C和带税率向量γ的Markov调制风险过程R~u={R~u(t),t≥0}和R~u(γ)={R~u(γ,t),t≥0}.给定特征组A=(Q,G,F),用概率方法构造了模型U.从而为用随机过程理论和方法研究Markov调制风险模型和过程,奠定了严实的随机过程基础. 相似文献
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This paper analyzes the continuity and differentiability of several classes of ruin functions under Markov-modulated insurance risk models with a barrier and threshold dividend strategy, respectively. Many ruin related functions in the literature, such as the expectation and the Laplace transform of the Gerber–Shiu discounted penalty function at ruin, of the total discounted dividends until ruin, and of the time-integrated discounted penalty and/or reward function of the risk process, etc, are special cases of the functions considered in this paper. Continuity and differentiability of these functions in the corresponding dual models are also studied. 相似文献