共查询到19条相似文献,搜索用时 78 毫秒
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考虑带扰动的两类索赔风险模型.两类索赔来到的计数过程分别为独立的Poisson过程和广义Erlang(n)过程.得到了此模型的罚金折扣函数的拉普拉斯变换,并且当两类索赔额分布密度的拉普拉斯变换均为有理函数时,给出了罚金折扣函数的具体表达式. 相似文献
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两类索赔相关风险模型的罚金折现期望函数 总被引:2,自引:0,他引:2
考虑两类索赔相关风险模型.两类索赔计数过程分别为独立的广义Poisson过程和广义Erlang(2)过程.得到了该风险模型的罚金折现期望函数满足的积分微分方程及该函数的Laplace变换的表达式,且当索赔额均服从指数分布时,给出了罚金折现期望函数及破产概率的明确表达式. 相似文献
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考虑索赔到达具有相依性的一类双险种风险模型,其中第一类险种的索赔计数过程为Poisson过程,第二类险种的索赔计数过程为其p-稀疏过程与广义Erlang(2)过程的和,利用更新论证得到了此风险模型的罚金折现期望函数满足的微积分方程及其Laplace变换的表达式.并就索赔额均服从指数分布的情形,给出了罚金函数及破产概率的精确表达式. 相似文献
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本文考虑了一个风险模型的罚金折现期望函数,在此模型中,保费的收取率随索赔强度而变化,索赔到达服从COX过程,并且通过添加扩散过程来描述随机因素的影响。利用后向差分法,得到了罚金折现期望值所满足的微和分方程。当索赔强度过程为n状态的Markov过程时,通过Laplace变换,求解了该方程。 相似文献
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Qihe Tang 《Insurance: Mathematics and Economics》2010,46(1):19-31
We study the asymptotic behavior of the Gerber-Shiu expected discounted penalty function in the renewal risk model. Under the assumption that the claim-size distribution has a convolution-equivalent density function, which allows both heavy-tailed and light-tailed cases, we establish some asymptotic formulas for the Gerber-Shiu function with a fairly general penalty function. These formulas become completely transparent in the compound Poisson risk model or for certain choices of the penalty function in the renewal risk model. A by-product of this work is an extension of the Wiener-Hopf factorization to include the times of ascending and descending ladders in the continuous-time renewal risk model. 相似文献
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The main focus of this paper is to analyze the Gerber-Shiu penalty function of a compound Poisson risk model with delayed claims and random incomes. It is assumed that every main claim will produce a by-claim which can be delayed with a certain probability. We derive the integral equation satisfied by the Gerber-Shiu penalty function. Given that the premium size is exponentially distributed, the explicit expression for the Laplace transform of the Gerber-Shiu penalty function is derived. Finally, when the premium sizes have rational Laplace transforms, we also obtain the Laplace transform of the Gerber-Shiu penalty function. 相似文献
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本文考虑复合二项风险模型破产概率问题,首先通过研究Gerber-Shiu折现惩罚函数,运用概率论的分析方法得到了其所满足的瑕疵更新方程,再结合离散更新方程理论研究了其渐近性质,最后,运用概率母函数的方法得到了与经典的Gramer-Lundberg模型类似的破产概率Pollazek-Khinchin公式. 相似文献
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Yong-sheng Xing Rong Wu 《应用数学学报(英文版)》2006,22(4):599-606
In this paper we consider the "penalty" function in the Erlang(n) risk model. Using the integro- differential equation we established, we obtain the explicit expressions for the moments of Erlang(2) risk model. When the claim size distribution is Light-Tailed and the penalty function is bounded, we obtain the exact representations for the moments of Erlang(n) risk model. 相似文献
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该文考虑了常数障碍分红策略下的Erlang(2)模型,研究了Gerber-Shiu折现罚金函数和期望折现分红,导出了它们所满足的积分微分方程,并分析了它们的解. 相似文献
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Discrete Risk Model Revisited 总被引:2,自引:0,他引:2
In this paper, the fully discrete risk model is considered. Claim sizes are assumed to be integer-valued. A new method is
employed to derive some explicit formulas of the Gerber-Shiu penalty function. Characteristic equations corresponding to recursive
equations satisfied by Gerber-Shiu penalty function are analyzed and explicit expressions of the penalty function are then
obtained. As a special case, the probability of ruin is obtained.
National Natural Science Foundation of China(10571092,10271062) 相似文献
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提出在等参杂交元中用惩罚函数法引入平衡约束条件,具体讨论了惩罚函数法在三维等参杂交元中的运用,并提出采用分项罚数的方法,建立最佳的罚平衡杂交元模型.罚平衡法可以在不增加自由度的前提下,有效地扼制寄生应力.数值实验表明,新建立的单元,可以有效地抑制单元畸变对计算精度的影响,从而大幅度提高畸变网格下的计算精度,方法带有普遍性. 相似文献