共查询到20条相似文献,搜索用时 296 毫秒
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研究了一类具有常利率及相依结构的Sparre Andersen模型,模型中假设理赔间隔时间决定下一次理赔额的分布情况.对一般分布情形,利用推广后的调节系数方程与递归更新技巧,得到了此模型的最终破产概率上界的估计.最后以理赔额和理赔间隔时间都服从指数分布的情况下的实例分析来说明该模型的有效性. 相似文献
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研究了当保费率随理赔强度的变化而变化时C ox风险模型的折现罚金函数,利用后向差分法得到了折现罚金函数所满足的积分方程,进而得到了破产概率,破产前瞬时盈余、破产时赤字的各阶矩所满足的积分方程.最后给出当理赔额服从指数分布,理赔强度为两状态的马氏过程时破产概率的拉普拉斯变换,对一些具体数值计算出了破产概率的表达式. 相似文献
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保险公司赔付及破产的随机模拟与分析 总被引:6,自引:0,他引:6
孙立娟、顾岚等.保险公司赔付及破产的随机模拟与分析.本文研究定期人寿保险的承保理赔及破产模型,其中保单到达和索赔出现服从相互独立的Poison过程。对此模型给出了破产概率的一个具体上界,通过随机模拟生成了持有保单数和理赔过程的样本轨道,分析研究破产概率与准备金和理赔额之间的关系 相似文献
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《系统科学与数学》2016,(10)
在考虑到因保费收入和通货膨胀等随机干扰的影响,以及将多余资本用于投资来提高赔付能力的基础上,文章对复合Poisson-Geometric风险模型做进一步推广,建立以保费收入服从复合Poisson过程,理赔量服从复合Poisson-Geometric过程的带投资的干扰风险模型,针对该风险模型,应用全期望公式,推导了Gerber-Shiu折现惩罚函数满足的更新方程,进而得到了在破产时盈余惩罚期望,破产赤字和破产概率满足的更新方程.并以保费额和索赔额均服从指数分布为例,给出破产概率满足的微分方程.以及通过数值例子,分析了初始准备金额,投资金额及保费额等对保险公司最终破产概率的影响.结论为经营者或决策者对各种金融或保险风险进行定量分析和预测提供了理论依据. 相似文献
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对保费收入是复合Poisson过程、理赔含有多个相关险种的带干扰的风险模型盈余首达时间进行研究.首先,对新模型的性质进行了讨论,得到其盈利过程的平稳增量性;其次,基于鞅理论,对风险模型下盈余首次达到给定水平的时间进行了研究.最后,得到了首达时刻的矩母函数以及相应的期望、二阶和三阶中心矩的解析表达式. 相似文献
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Gordon E. Willmot 《Insurance: Mathematics and Economics》2007,41(1):17-31
The defective renewal equation satisfied by the Gerber-Shiu discounted penalty function in the renewal risk model with arbitrary interclaim times is analyzed. The ladder height distribution is shown to be a mixture of residual lifetime claim severity distributions, which results in an invariance property satisfied by a large class of claim amount models. The class of exponential claim size distributions is considered, and the Laplace transform of the (discounted) defective density of the surplus immediately prior to ruin is obtained. The mixed Erlang claim size class is also examined. The simplified defective renewal equation which results when the penalty function only involves the deficit is used to obtain moments of the discounted deficit. 相似文献
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On the discrete-time compound renewal risk model with dependence 总被引:1,自引:0,他引:1
Etienne Marceau 《Insurance: Mathematics and Economics》2009,44(2):245-259
In this paper, we study the discrete-time renewal risk model with dependence between the claim amount random variable and the interclaim time random variable. We consider several dependence structures between the claim amount random variable and the interclaim time random variable. Recursive formulas are derived for the probability mass function and the moments of the total claim amount over a fixed period of time. In the context of ruin theory, explicit expressions for the expected penalty (Gerber-Shiu) function are derived for special cases. We also discuss how the discrete-time compound renewal risk model with dependence can be used to approximate the corresponding continuous time compound renewal risk model with dependence. Numerical examples are provided to illustrate different topics discussed in the paper. 相似文献
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复合Poisson-Geometric风险模型Gerber-Shiu折现惩罚函数 总被引:11,自引:0,他引:11
本文研究赔付为复合Poisson-Geometric过程的风险模型,首先得到了Gerber-Shiu折现惩罚期望函数所满足的更新方程,然后在此基础上推导出了破产概率和破产即刻前赢余分布等所满足的更新方程,再运用Laplace方法得出了破产概率的Pollazek-Khinchin公式,最后根据Pollazek-Khinchin公式,直接得出了当索赔分布服从指数分布的情形下破产概率的显示表达式. 相似文献
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In this article, some asymptotic formulas of the finite-time ruin probability for a two-dimensional renewal risk model are obtained. In the model, the distributions of two claim amounts belong to the intersection of the long-tailed distributions class and the dominated varying distributions class and the claim arrival-times are extended negatively dependence structures. Assumption that the claim arrivals of two classes are governed by a common renewal counting process. The asymptotic formulas hold uniformly for t ∈ [f(x), ∞), where f(x) is an infinitely increasing function. 相似文献
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In this paper, we consider a renewal risk model with stochastic premiums income. We assume that the premium number process and the claim number process are a Poisson process and a generalized Erlang (n) processes, respectively. When the individual stochastic premium sizes are exponentially distributed, the Laplace transform and a defective renewal equation for the Gerber-Shiu discounted penalty function are obtained. Furthermore, the discounted joint distribution of the surplus just before ruin and the deficit at ruin is given. When the claim size distributions belong to the rational family, the explicit expression of the Gerber-Shiu discounted penalty function is derived. Finally, a specific example is provided. 相似文献
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In this paper,we consider a risk model in which each main claim may induce a delayed claim,called a by-claim.We assume that the time for the occurrence of a by-claim is random.We investigate the expected discounted penalty function,and derive the defective renewal equation satisfied by it.We obtain some explicit results when the main claim and the by-claim are both exponentially distributed,respectively.We also present some numerical illustrations. 相似文献
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The Asymptotic Estimate of Absolute Ruin Probabilities in the Renewal Risk Model with Constant Force of Interest 下载免费PDF全文
In this paper, absolute ruin problems
for a kind of renewal risk model with constant interest force are
studied. For certain situations of the claim distribution with heavy
tail, consider the surplus of the arrival time, and discrete the
surplus process, then use the method of renewal function and
convolution, we present the asymptotic properties of absolute ruin
probability when the initial surplus tends to infinity. 相似文献
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Acta Mathematicae Applicatae Sinica, English Series - In this paper, we consider a non-standard renewal risk model with dependent claim sizes, where an insurance company is allowed to invest... 相似文献