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带干扰的多险种的风险模型 总被引:10,自引:0,他引:10
保险公司往往会经营多种保险,用古典风险模型及其它推广的单一险种风险模型来研究其风险经营过程存在局限性,本讨论了带干扰的多险种风险模型,模型中保费的收人和理赔都是复合泊松过程,应用鞅论的方法,得出伦德伯格不等式和破产概率公式。 相似文献
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多险种场合的破产概率 总被引:1,自引:0,他引:1
本文将经典的破产模型由单险种推广到了多险种,分别讨论了各险种的索赔额均为复合Poisson过程和广义复合Poisson过程的情形,计算了两种情形下的破产概率. 相似文献
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考虑了重尾分布的多险种复合二项风险模型,在索赔额分布服从一致变化尾时,得到了其总索赔过程和总索赔盈利过程的大偏差,推广了经典复合二项风险模型的结论. 相似文献
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一类双险种风险过程的破产概率的估计 总被引:6,自引:0,他引:6
本文研究了一类双险种风险模型,理赔额均服从指数分布,其中一个险种的保费到达为齐次Poisson过程,给出了最终破产概率的上界和t。时刘之间破产概率的一个上界估计。 相似文献
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一类广义离散双险种风险模型 总被引:2,自引:0,他引:2
本推广了[1]中的离散双险种风险模型,讨论了保单到达过程为Poisson随机序列时的情况,得到了最终破产概率的Lundberg不等式以及一般表达式。 相似文献
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一类多险种风险过程的破产概率 总被引:49,自引:0,他引:49
由于保险公司风险经营规模的不断扩大,考虑到用单一险种的风险模型来描述风险经营过程的局限性,本文建立了多险种风险模型,并对其中一类特殊的风险模型的破概率进行了研究,给出了初始资本为0时破产概率Ψ(0)的明确表达式,以及初始资本为μ的破产概率Ψ(μ)的近似估计和在某些特殊情形下Ψ(μ)的明确表达式。 相似文献
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高珊 《数学的实践与认识》2008,38(22)
研究了一类相依的双险种风险模型,其中第一类险种的索赔到达计数过程为E lang(2)过程,第二类险种的索赔到达计数过程为其p-稀疏过程.首先通过更新论证的方法得到罚金折现期望满足的积分-微分方程,然后推导拉普拉斯变换的表达式,并就索赔额服从指数分布的情形得到了罚金折现期望的精确表达式. 相似文献
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Roelof Helmers Ričardas Zitikis 《Annals of the Institute of Statistical Mathematics》1999,51(2):265-280
Under the presence of only one realization, we consider a computationally simple algorithm for estimating the intensity function of a Poisson process with exponential quadratic and cyclic of fixed frequency trends. We argue that the algorithm can successfully be used to estimate any Poisson intensity function provided that it has a parametric form. 相似文献
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Jiří Anděl 《Applications of Mathematics》1998,43(5):389-398
Let e
t=(e
t1,...e
tp) be a p-dimensional nonnegative strict white noise with finite second moments. Let h
ij(x) be nondecreasing functions from [0,) onto [0,) such that h
ij(x) x for i, j = 1,...,p. Let U = (u
ij) be a p×p matrix with nonnegative elements having all its roots inside the unit circle. Define a process X
t=(X
t1,...,X
tp) by for
for j=1,..., p A method for estimating U from a realization X
1,...,X
n is proposed. It is proved that the estimators are strongly consistent. 相似文献
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讨论正态过程中的一个重要特例维纳过程,对正态过程的特性和它逼近随机过程的机制原理做出一定的分析研究。 相似文献
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An Ergodic Process of Zero Divergence-Distance from the Class of All Stationary Processes 总被引:1,自引:0,他引:1
Shaogang Xu 《Journal of Theoretical Probability》1998,11(1):181-195
An ergodic process Q is constructed such that the divergence-rate D(P Q) is zero for all stationary processes P. The process Q is constructed using the cutting and stacking method. 相似文献
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Michel Talagrand 《Journal of Theoretical Probability》1998,11(1):289-301
We give in full generality a lower bound for the expected value of the supremum of a chaos process indexed by a set T, in terms of the structure of T for the two natural distances induced by the process. 相似文献
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Nikos Yannaros 《Annals of the Institute of Statistical Mathematics》1994,46(4):641-648
We study the class of renewal processes with Weibull lifetime distribution from the point of view of the general theory of point processes. We investigate whether a Weibull renewal process can be expressed as a Cox process. It is shown that a Weibull renewal process is a Cox process if and only if 0<1, where denotes the shape parameter of the Weibull distribution. The Cox character of the process is analyzed. It is shown that the directing measure of the process is continuous and singular. 相似文献
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A notion of semi-selfsimilarity of R
d
-valued stochastic processes is introduced as a natural extension of the selfsimilarity. Several topics on semi-selfsimilar processes are studied: the existence of the exponent for semi-selfsimilar processes; characterization of semi-selfsimilar processes as scaling limits; relationship between semi-selfsimilar processes with independent increments and semi-selfdecomposable distributions, and examples; construction of semi-selfsimilar processes with stationary increments; and extension of the Lamperti transformation. Semi-stable processes where all joint distributions are multivariate semi-stable are also discussed in connection with semi-selfsimilar processes. A wide-sense semi-selfsimilarity is defined and shown to be reducible to semi-selfsimilarity. 相似文献
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给出了Q过程构造的等价条件,证明了Q过程的构造等价于一个条件方程组的解,以此方法求出了所有的Q过程、F过程、B过程及BF过程的等价条件。 相似文献
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The Markov property of Markov process functionals which are frequently used in economy, finance, engineering and statistic analysis is studied. The conditions to judge Markov property of some important Markov process functionals are presented, the following conclusions are obtained: the multidimensional process with independent increments is a multidimensional Markov process; the functional in the form of path integral of process with independent increments is a Markov process; the surplus process with the doubly stochastic Poisson process is a vector Markov process. The conditions for linear transformation of vector Markov process being still a Markov process are given. 相似文献