共查询到17条相似文献,搜索用时 404 毫秒
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稀疏过程的三特征的联合分布函数 总被引:1,自引:0,他引:1
本文考虑一类人寿保险,保费到达为Po isson过程,索赔到达为p-稀疏过程,我们推导三特征的联合分布函数;破产时间,破产概率,破产前的盈余,破产赤字,并由这联合分布得破产概率的显示表达式. 相似文献
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本文考虑了索赔时间间距为广义Erlang(n)分布的带干扰更新(Sparre Andersen)风险过程.所用的方法类似于Albrecher,et al.(2005),即将广义Erlang(n)随机变量分解成n个独立的指数随机变量的和.建立了破产前最大盈余所满足的积分-微分方程,讨论了索赔量分布为K<,m>分布时的特殊情形. 相似文献
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带息双二项风险模型的破产问题 总被引:1,自引:0,他引:1
本文研究了带随机利率的双二项风险模型的破产问题,得到了描述破产严重程度的破产前盈余分布,破产持续时间分布的递推公式,有限时间破产概率的递推公式及终极破产概率满足的积分方程. 相似文献
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本文研究了一类风险模型,其个体索赔额服从指数-幂尾型分布,索赔次数过程为一更新过程,其更新时间间隔服从指数族分布;给出了这类模型在有限时间内破产概率的渐近性质;并讨论了在破产发生后的特征. 相似文献
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本文研究了索赔服从Phase-type分布的风险模型在第n次索赔时破产的概率问题.利用Phasetype分布的性质及索赔时刻的盈余与净收入之间的关系,得到盈余密度函数的Laplace变换递推关系,进而得出风险过程在第n次索赔时的破产概率,最后举例说明之. 相似文献
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离散时间保险风险模型的破产问题 总被引:33,自引:0,他引:33
本文研究了引入利率的离散时间保险风险模型,得到了描述破产严重程度的破产前盈余分布、破产持续时间分布的递推公式,并对具体实例给出数值计算结果。 相似文献
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本文考虑了索赔时间间距为指数分布与Errang(2)分布混合时的平均折现罚函数,建立了该函数所满足的积分一微分方程及更新方程,讨论r其Laplace解.最后得出了破产概率所满足的Beekman卷积公式及索赔茸分布分别为Phase-type分布和Pareto分布时破产概率的明确表达式和近似表达式. 相似文献
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考虑了一类离散相依的风险模型,该模型假设主索赔以一定的概率引起两种副索赔,而第一种副索赔有可能延迟发生.通过引入一个辅助模型,分别得出了该风险模型初始盈余为0时破产前盈余与破产时赤字的联合分布的表达式、初始盈余为"时破产前盈余和破产时赤字的联合分布的递推公式、初始盈余为0时的破产概率,以及初始盈余为"时的破产概率求解方... 相似文献
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In this paper, we consider the distribution of the maximum surplus before ruin in a perturbed risk model with two independent classes of risks, in which both of the two inter-claim times have phase-type distributions. We obtain the integro-differential equations for the distribution of the maximum surplus before ruin. Explicit expressions are derived if the two classes claim amount distributions both belong to the rational family. 相似文献
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Huai Xu & Ling Tang 《数学研究通讯:英文版》2012,28(4):349-358
In this paper, we consider a Gerber-Shiu discounted penalty function in
Sparre Andersen risk process in which claim inter-arrival times have a phase-type (2)
distribution, a distribution with a density satisfying a second order linear differential
equation. By conditioning on the time and the amount of the first claim, we derive
a Laplace transform of the Gerber-Shiu discounted penalty function, and then we
consider the joint density function of the surplus prior to ruin and the deficit at ruin
and some ruin related problems. Finally, we give a numerical example to illustrate
the application of the results. 相似文献
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JIANG Wuyuan 《应用概率统计》2019,35(3):263-274
In this paper, we consider the two classes of perturbed risk model with stochastic income. We set up the integro-differential equations for the distribution of the maximum surplus before ruin $\mathscr{G}(u;d). The Laplace transforms of $\mathscr{G}(u;d),d\rightarrow+\infty are obtained for exponential premium income. The explicit expressions for the distribution of the maximum surplus before ruin are derived when the two classes claim amount distributions all belong to the rational family. 相似文献
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The classical risk process that is perturbed by diffusion is studied .The explicit expressions for the runi probability and the surplus distribution of the risk process at the time of runi are obtained when the claim amount distribution is a finite mixture of exponential distributions of a Gamma (2,α) distribution. 相似文献
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Guo-jing Wang Rong WuDepartment of Mathematics Suzhou University Suzhou China Department of Mathematics Nankai Univercity Tianjin China 《应用数学学报(英文版)》2002,18(4):685-692
In this paper, we discuss the classical risk process with stochastic return on investment. We prove some properties of the ruin probability, the supremum distribution before ruin and the surplus distribution at the time of ruin and derive the integro-differential equations satisfied by these distributions respectively. 相似文献