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该文主要研究了对偶延迟更新风险模型的占位时问题.利用转换的方法及Lévy过程的波动性,当索赔服从指数分布时,给出了占位时的联合拉普拉斯变换的表达式. 相似文献
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《数学的实践与认识》2015,(15)
由于双复合Poisson-Geometric风险模型调节系数不存在,所以运用鞅论的方法不能得出破产概率关于调节系数的表达式,针对这种情况,运用全期望公式研究双复合Poisson-Geometric风险模型,得出了破产概率满足的积分方程,并给出了保费收入和理赔额均服从指数分布时破产概率的表达式. 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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该文主要讨论带干扰古典风险模型的破产瞬间余额和破产赤字的边际及联合分布.借助于修正阶梯高度的结果,得到了它们的表达式.当索赔服从指数分布时,给出它们的精确表达. 相似文献
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考虑两类索赔相关风险过程.两类索赔计数过程分别为独立的Poisson和广义Erlang(2)过程.将该过程转换为两类独立索赔风险过程,得到了该过程的罚金折现函数满足的积分微分方程及该函数的拉普拉斯变换的表达式,且当索赔额服从指数分布时,给出了罚金折现函数及破产概率的表达式. 相似文献
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本文考虑变利率的离散时间风险模型的破产概率.在个体净损失服从ERV族和DnL族时,分别得到了有限时间和无限时间破产概率的渐近估计及上下界表达式,并利用matlab软件对有限时间破产概率的下界进行了数值模拟. 相似文献
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R.B. Stoker 《European Journal of Operational Research》1978,2(4):232-245
This paper is concerned with incorporating the interactive effects of location, price and demand into mathematical models of distribution systems. Equations for distribution costs, capital investment, demand and gross profit margin are introduced and from these, profit and return on investment equations are derived. For a given number of depots, a search procedure is derived to determine the locations of the depots which maximise the derived profit equation. A similar search procedure is derived to maximise return on investment. The maximum profit and maximum return on investment solutions are compared and it is deduced that for a fixed gross profit margin, these solutions will be almost identical. Finally, the search procedures are applied to real data and observations are made on how the type of location determined by the search procedures varies as the market characteristics vary. 相似文献
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建立了无限期内冷链品具有Weibull生存死亡特征、随机需求且受售价影响的库存补货定价模型,其中售价是连续变化的,需求率是售价的指数函数,变质率服从的三参数Weibull分布,提前期固定。系统以利润最大化为目标函数,在(r,Q)库存策略下,建立库存模型,采用直接法,对模型近似求解,得到最优补货定价策略。利用Matlab进行算例模拟和灵敏度分析发现:补货提前期和单位仓储成本对补货定价策略影响较大,二者增大会导致系统利润降低;单位处理成本的增加,在一定程度上使得系统降低最优补货量,使系统利润增加;保鲜期固定的前提下,受冷链品的流动环境因子和存储环境因子影响的变质率对补货定价策略影响较大,它的增大会使系统利润降低。这些发现能够帮助优化系统模型,对现实问题具有一定的指导意义。 相似文献
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On a dual model with a dividend threshold 总被引:1,自引:0,他引:1
Andrew C.Y. Ng 《Insurance: Mathematics and Economics》2009,44(2):315-324
In insurance mathematics, a compound Poisson model is often used to describe the aggregate claims of the surplus process. In this paper, we consider the dual of the compound Poisson model under a threshold dividend strategy. We derive a set of two integro-differential equations satisfied by the expected total discounted dividends until ruin and show how the equations can be solved by using only one of the two integro-differential equations. The cases where profits follow an exponential or a mixture of exponential distributions are then solved and the discussion for the case of a general profit distribution follows by the use of Laplace transforms. We illustrate how the optimal threshold level that maximizes the expected total discounted dividends until ruin can be obtained, and finally we generalize the results to the case where the surplus process is a more general skip-free downwards Lévy process. 相似文献
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This paper analyzes the finite-buffer single server queue with vacation(s). It is assumed that the arrivals follow a batch Markovian arrival process (BMAP) and the server serves customers according to a non-exhaustive type gated-limited service discipline. It has been also considered that the service and vacation distributions possess rational Laplace-Stieltjes transformation (LST) as these types of distributions may approximate many other distributions appeared in queueing literature. Among several batch acceptance/rejection strategies, the partial batch acceptance strategy is discussed in this paper. The service limit L (1 ≤ L ≤ N) is considered to be fixed, where N is the buffer-capacity excluding the one in service. It is assumed that in each busy period the server continues to serve until either L customers out of those that were waiting at the start of the busy period are served or the queue empties, whichever occurs first. The queue-length distribution at vacation termination/service completion epochs is determined by solving a set of linear simultaneous equations. The successive substitution method is used in the steady-state equations embedded at vacation termination/service completion epochs. The distribution of the queue-length at an arbitrary epoch has been obtained using the supplementary variable technique. The queue-length distributions at pre-arrival and post-departure epoch are also obtained. The results of the corresponding infinite-buffer queueing model have been analyzed briefly and matched with the previous model. Net profit function per unit of time is derived and an optimal service limit and buffer-capacity are obtained from a maximal expected profit. Some numerical results are presented in tabular and graphical forms. 相似文献
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离散模糊需求报童问题的可能性模型研究 总被引:3,自引:1,他引:2
基于可能性分布函数质心特征值,本文建立了确定离散模糊需求报童问题订货量的利润模型,并分析了成本模型和利润模型的关系。研究结果表明:1)基于可能性分布函数质心的模糊可能性成本和利润模型确定的订货量不一致;2)对应不同订货量,模糊可能性成本与利润之和不为固定常数。数值计算表明:该方法不可取。 相似文献
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采用排队分析技术,构建基于利润最大化的库存控制模型来考察零售商面向两类客户需求的环境下,双渠道采购库存控制策略.首先,建立了库存水平状态稳态概率分布的平衡方程,并推导出其稳态概率分布以及作为构建系统利润函数的稳态性能指标.然后,建立系统利润最优化模型,并设计改进的遗传算法.最后,通过数值实验考察系统库存控制策略以及参数的敏感性. 相似文献
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This paper presents a practical approach for studying the profit probability distribution defined in stochastic breakeven analysis. After presenting a procedure for calculating the mean and the second to fourth central moments of the profit distribution, the several important uses of these four moments are discussed. A major application of the four moments is in the fitting of a Pearson's curve. Using a numerical example in conjunction with a set of published tables, we then demonstrate the simplicity of our proposed approach as well as the resultant high accuracy in estimating probabilities of various profit levels. 相似文献
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本文建立包含一个制造商和一个电商平台的序贯博弈模型,讨论分销模式对供应链成员广告决策和收益的影响。电商平台中存在两种分销模式:批发模式下制造商将产品卖给平台,平台再进行零售;平台模式下制造商通过平台直接销售产品。另外,制造商和平台都可以选择是否参与广告活动并决定各自的广告投入。研究发现:两种分销模式下供应链成员都应参与广告活动;与批发模式相比,平台模式下制造商广告投入增加而平台广告投入降低。平台佣金率增加一定减小制造商的收益,但只有当制造商的广告效果或平台佣金率较小时,才会增加平台的收益。两种分销模式下供应链的总收益都低于纵向整合供应链的总收益;当平台佣金率适中时,制造商选择平台模式可以实现帕累托改进。 相似文献