首页 | 本学科首页   官方微博 | 高级检索  
相似文献
 共查询到20条相似文献,搜索用时 93 毫秒
1.
熊双平 《经济数学》2006,23(3):247-251
讨论了常利率下带干扰的Cox模型的破产概率,分别得到了条件破产概率和最终破产概率所满足的微积分方程.  相似文献   

2.
折现率离散时间风险模型下最大赤字问题   总被引:1,自引:0,他引:1  
在引入折现率的条件下研究离散时间风险模型,运用递推方法和全概率公式,得到了破产前盈余,破产后赤字以及它们的联合分布所满足的微分积分方程,作为推论得到了破产概率所满足的微积分方程并得出结论.  相似文献   

3.
高珊  曹晓敏 《经济数学》2006,23(3):229-234
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   

4.
索赔次数为复合Poisson-Geometric过程的常利率风险模型   总被引:2,自引:0,他引:2  
熊双平 《经济数学》2006,23(1):15-18
讨论了常利率下索赔次数为复合Po issong-G eom etric过程的风险模型的破产概率,得到了破产概率所满足的积分方程.  相似文献   

5.
讨论了常利率下索赔次数为复合Poisson-Geometric过程的风险模型的罚金函数,得到了罚金函数的期望所满足的积分方程,并由所得到的积分方程推出了破产概率所满足的积分方程,初始盈余为0时,得到了罚金函数的期望及破产概率的精确解.  相似文献   

6.
保费收入为Poisson过程的更新风险模型   总被引:1,自引:0,他引:1  
向阳  刘再明 《大学数学》2007,23(1):26-28
对于保费收入为Poisson过程的更新风险模型,利用马氏链的理论,借助转移概率,得出了破产概率和破产赤字的展式及其所满足的积分方程.  相似文献   

7.
对索赔次数为复合Poisson-Geometric过程的双险种风险模型进行研究,给出了生存概率所满足的积分方程、指数分布下的具体表达式及有限时间内的积分—微分方程,并利用鞅方法得到了最终破产概率的Lundberg不等式和一般公式.  相似文献   

8.
本文研究了离散时间一般再保险模型的破产概率, 得出利率为一阶自回归情形下的破产概率满足的微积分方程, 利用递推方法给出破产概率的上界, 并将结果分别运用于比例再保险和超额损失再保险的情形, 最后运用图表对文中得出的结论进行了说明.  相似文献   

9.
研究了一类风险过程,其中保费收入为复合Poisson过程,而描述索赔发生的计数过程为保单到达过程的p-稀疏过程.给出了生存概率满足的积分方程及其在指数分布下的具体表达式,得到了破产概率满足的Lundberg不等式、最终破产概率及有限时间内破产概率的一个上界和生存概率的积分-微分方程,且通过数值例子,分析了初始准备金、保费收入、索赔支付及保单的平均索赔比例对保险公司破产概率的影响.  相似文献   

10.
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   

11.
带利息力的随机双险种风险模型   总被引:4,自引:0,他引:4  
由于经典风险模型及其拓展模型的局限性,因而构造了一种带利息力的随机双险种风险模型,并且获得了初始资产为u时生存概率满足的积分方程,以及初始资产为0时生存概率的表达式.  相似文献   

12.
Appell polynomials are known to play a key role in certain first-crossing problems. The present paper considers a rather general insurance risk model where the claim interarrival times are independent and exponentially distributed with different parameters, the successive claim amounts may be dependent and the premium income is an arbitrary deterministic function. It is shown that the non-ruin (or survival) probability over a finite horizon may be expressed in terms of a remarkable family of functions, named pseudopolynomials, that generalize the classical Appell polynomials. The presence of that underlying algebraic structure is exploited to provide a closed formula, almost explicit, for the non-ruin probability.  相似文献   

13.
一类常利率下的复合Poisson-Geometric过程风险模型   总被引:1,自引:0,他引:1  
将文献[6]中常利率情况下的风险模型,推广为索赔来到过程为Poisson-Geometric过程的风险模型.给出了该模型初始资产为u时生存概率所满足的积分方程,并更正了文献[6]中的错误。  相似文献   

14.
The theory of inversed martingales is used in order to prove a generalization of a result of H. Cramér on the probability of non-ruin for a classical surplus process if the initial reserve is positive.  相似文献   

15.
This note discusses a simple quasi-Monte Carlo method to evaluate numerically the ultimate ruin probability in the classical compound Poisson risk model. The key point is the Pollaczek–Khintchine representation of the non-ruin probability as a series of convolutions. Our suggestion is to truncate the series at some appropriate level and to evaluate the remaining convolution integrals by quasi-Monte Carlo techniques. For illustration, this approximation procedure is applied when claim sizes have an exponential or generalized Pareto distribution.  相似文献   

16.
In this paper we consider the Markov-dependent risk model with tax payments in which the claim occurrence, the claim amount as well as the tax rate are controlled by an irreducible discrete-time Markov chainSystems of integro-differential equations satisfied by the expected discounted tax payments and the non-ruin probability in terms of the ruin probabilities under the Markov-dependent risk model without tax are establishedThe analytical solutions of the systems of integro-differential equations are also obtained by the iteration method.  相似文献   

17.
The present paper aims to revisit the homogeneous risk model investigated by De Vylder and Goovaerts, 1999, De Vylder and Goovaerts, 2000. First, a claim arrival process is defined on a fixed time interval by assuming that the arrival times satisfy an order statistic property. Then, the variability and the covariance of an aggregate claim amount process is discussed. The distribution of the aggregate discounted claims is also examined. Finally, a closed-form expression for the non-ruin probability is derived in terms of a family of Appell polynomials. This formula holds for all claim distributions, even dependent. It generalizes several results obtained so far.  相似文献   

18.
The present paper aims to revisit the homogeneous risk model investigated by [De Vylder and Goovaerts, 1999] and [De Vylder and Goovaerts, 2000]. First, a claim arrival process is defined on a fixed time interval by assuming that the arrival times satisfy an order statistic property. Then, the variability and the covariance of an aggregate claim amount process is discussed. The distribution of the aggregate discounted claims is also examined. Finally, a closed-form expression for the non-ruin probability is derived in terms of a family of Appell polynomials. This formula holds for all claim distributions, even dependent. It generalizes several results obtained so far.  相似文献   

19.
In this paper, we consider the Markov-modulated insurance risk model with tax. We assume that the claim inter-arrivals, claim sizes and premium process are influenced by an external Markovian environment process. The considered tax rule, which is the same as the one considered by Albrecher and Hipp [Blätter DGVFM 28(1):13–28, 2007], is to pay a certain proportion of the premium income, whenever the insurer is in a profitable situation. A system of differential equations of the non-ruin probabilities, given the initial environment state, are established in terms of the ruin probabilities under the Markov-modulated insurance risk model without tax. Furthermore, given the initial state, the differential equations satisfied by the expected accumulated discounted tax until ruin are also derived. We also give the analytical expressions for them by iteration methods.  相似文献   

20.
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号