共查询到19条相似文献,搜索用时 109 毫秒
1.
2.
本篇论文主要讨论带干扰的E rlang(2)过程,首先通过指数分布的可加性来推得生存概率所满足的积分微分方程,进而得到破产概率(由干扰引起和由索赔引起)所满足的积分微分方程,最后得到破产概率的拉氏变换所满足的方程. 相似文献
3.
4.
5.
6.
研究一类随机微分方程无限时间的跟踪性.首先给出了Ito型随机微分方程在均方意义下无限时间(ω,δ)-伪轨与无限时间(ω,ε)-跟踪的定义,其次证明了一个修正的Schauder不动点定理,最后用Malliavin导数证明了Ito随机微分方程的无限时间跟踪的存在性定理.推广确定的微分方程的跟踪性到随机情形,结论表明:在由Ito随机微分方程生成的随机动力系统中,依然存在无限时间的跟踪. 相似文献
7.
8.
考虑一类理赔间隔服从Erlang(2)分布,即Gamma(2)分布的精算风险模型.与理赔间隔服从指数分布的古典风险模型相比较,这种精算模型更易于模拟风险.首先,本文证明了生存概率R(u)满足一个积分-微分方程,然后,得到了生存概率R(u)所满足的一个指数型积分方程.最后,得到了关于生存概率R(u)的一个显示解.本文的工作可视为Dickson[1]和Dickson&Hipp[2,4]相应工作的继续和补充. 相似文献
9.
本文考虑一类带干扰的两独立险种的风险模型,其中两索赔次数过程分别为Poisson过程和Elang(2)过程.主要得出该模型的生存概率所满足的积分-微分方程和破产概率的渐近性. 相似文献
10.
11.
Jianhua ChengDehui Wang 《Applied mathematics and computation》2011,218(7):3822-3833
In this paper, we consider a discrete insurance risk model in which the claims, the premiums and the rates of interest are assumed to have dependent autoregressive structures (AR(1)). We derive recursive and integral equations for expected discounted penalty function. By these equations, we obtain generalized Lundberg inequality for the infinite time severity of ruin and hence for the infinite time ruin probability, consider asymptotic formula for the finite time ruin probability when loss distributions have regularly varying tails, and study some probability properties of the duration of ruin. 相似文献
12.
We consider that the reserve of an insurance company follows a renewal risk process with interest and dividend. For this risk process, we derive integral equations and exact infinite series expressions for the Gerber-Shiu discounted penalty function. Then we give lower and upper bounds for the ruin probability. Finally, we present exact expressions for the ruin probability in a special case of renewal risk processes. 相似文献
13.
We consider that the reserve of an insurance company follows a renewal risk process with interest and dividend. For this risk process, we derive integral equations and exact infinite series expressions for the Cerber-Shiu discounted penalty function. Then we give lower and upper bounds for the ruin probability. Finally, we present exact expressions for the ruin probability in a special case of renewal risk processes. 相似文献
14.
How does innovation's tail risk determine marginal tail risk of a stationary financial time series? 总被引:6,自引:1,他引:5
We discuss the relationship between the marginal tail risk probability and theinnovation's tail risk probability for some stationary financial time series models. We firstgive the main results on the tail behavior of a class of infinite weighted sums of randomvariables with heavy-tailed probabilities. And then, the main results are applied to threeimportant types of time series models; infinite order moving averages, the simple bilineartime series and the solutions of stochastic difference equations. The explicit formulasare given to describe how the marginal tail probabilities come from the innovation's tailprobabilities for these time series. Our results can be applied to the tail estimation of timeseries and are useful for risk analysis in finance. 相似文献
15.
Survival probability and ruin probability of a risk model 总被引:2,自引:0,他引:2
Jian-hua Luo 《高校应用数学学报(英文版)》2008,23(3):256-264
In this paper, a new risk model is studied in which the rate of premium income is regarded as a random variable, the arrival of insurance policies is a Poisson process and the process of claim occurring is p-thinning process. The integral representations of the survival probability are gotten. The explicit formula of the survival probability on the infinite interval is obtained in the special casc cxponential distribution.The Lundberg inequality and the common formula of the ruin probability are gotten in terms of some techniques from martingale theory. 相似文献
16.
In this paper we consider a risk model with two kinds of claims, whose claims number processes are Poisson process and ordinary renewal process respectively. For this model, the surplus process is not Markovian, however, it can be Markovianized by introducing a supplementary process, We prove the Markov property of the related vector processes. Because such obtained processes belong to the class of the so-called piecewise-deterministic Markov process, the extended infinitesimal generator is derived, exponential martingale for the risk process is studied. The exponential bound of ruin probability in iafinite time horizon is obtained. 相似文献
17.
论将索赔到达点过程由Poisson点过程推广为由马氏链的跳跃点形成的点过程,保费收取由净收入随机确定,我们得到破产概率ψ(u)及条件破产概率φi(u)满足的积分方程. 相似文献
18.
In this paper,we study a general Lévy risk process with positive and negative jumps.A renewal equation and an infinite series expression are obtained for the expected discounted penalty function of this risk model.We also examine some asymptotic behaviors for the ruin probability as the initial capital tends to infinity. 相似文献
19.
本文研究马氏环境下带扰动的变利率的Cox风险模型.证明了该模型的最终生存概率(或最终破产概率)满足一定的瑕疵更新方程.并利用更新理论给出了其Cramer-Lundberg渐近性质。本文还推导出最终生存概率(或最终破产概率)的卷积公式,从而推广了文献[1]的相应结果。 相似文献