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本文主要研究常利率下的 Erlang(2 )风险模型的破产前瞬间盈余分布 ,破产时赤字分布 ,以及它们的联合分布 . 相似文献
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关于常利率风险模型在破产前后余额的分布 总被引:2,自引:0,他引:2
本文对常利率风险模型运用拉普拉斯变换给出了破产前后余额通过破产概率函数表示的有限公式,以及破产概率的分析表达式,另外对于破产前后余额分布的密度与破产前余额密度之间关系简要说明。 相似文献
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本文研究保费到达为平衡更新过程的复合更新风险模型 ,给出了有限时间内的生存概率分布 ,破产时间 T与破产时资产盈余 U(T)的联合分布 ,及破产时间 T与破产前瞬时盈余 U(T- )的联合分布 . 相似文献
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In this paper, we discuss the insurance risk models of general arrrival of claims with con-stant interest force, prove that the surplus process {Xб(Tn), n≥0} at claim occurrence times T. is ahomogeneous Markov skeleton one,and give the distribution of surplus assets prior to and ruin andthe joint distrubutions of the ruin time and them. 相似文献
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In the paper, we study three types of finite-time ruin probabilities in a diffusion-perturbed bidimensional risk model with constant force of interest, pairwise strongly quasi-asymptotically independent claims and two general claim arrival processes, and obtain uniformly asymptotic formulas for times in a finite interval when the claims are both long-tailed and dominatedly-varying-tailed. In particular, with a certain dependence structure among the inter-arrival times, these formulas hold uniformly for all times when the claims are pairwise quasi-asymptotically independent and consistently-varying-tailed. 相似文献
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考虑一类具有Poisson过程和Erlang(n)过程的风险模型的破产问题,该模型中保险公司具有两类保险,每类保险的理赔次数过程都是Poisson过程与一个共同的Erlang(n)过程的和.针对这类理赔相关的风险模型,就利息力为常数的情形得到破产时刻罚金折现期望的积分—微分方程. 相似文献
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In this paper we investigate the ruin probability in a general risk model driven by a compound Poisson process. We derive a formula for the ruin probability from which the Albrecher–Hipp tax identity follows as a corollary. Then we study, as an important special case, the classical risk model with a constant force of interest and loss-carried-forward tax payments. For this case we derive an exact formula for the ruin probability when the claims are exponential and an explicit asymptotic formula when the claims are subexponential. 相似文献
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The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims 总被引:2,自引:0,他引:2
Recently, Tang [Tang, Q., 2005a. Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation. Scand. Actuar. J. (1), 1–5] obtained a simple asymptotic formula for the ruin probability of the renewal risk model with constant interest force and regularly varying tailed claims. In this paper, we use a completely different approach to extend Tang’s result to the case in which the claims are pairwise negatively dependent and extended regularly varying tailed. 相似文献
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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
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Ding Jun YAO Rong Ming WANG 《数学学报(英文版)》2008,24(2):319-328
The authors consider two discrete-time insurance risk models. Two moving average risk models are introduced to model the surplus process, and the probabilities of ruin are examined in models with a constant interest force. Exponential bounds for ruin probabilities of an infinite time horizon are derived by the martingale method. 相似文献
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This paper studies a continuous-time multidimensional risk model with constant force of interest and dependence structures among random factors involved. The model allows a general dependence among the claim-number processes from different insurance businesses. Moreover, we utilize the framework of multivariate regular variation to describe the dependence and heavy-tailed nature of the claim sizes. Some precise asymptotic expansions are derived for both finite-time and infinite-time ruin probabilities. 相似文献
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保险公司在固定利率下的离散型破产概率 总被引:5,自引:0,他引:5
本提出并讨论了在固有利率下含投资因素、红利分配因素的两种离散型破产模型,分别得出了相应模型下关于保险公司的破产概率、期望寿命的结论,推广散没有考虑利率因素的离散型破产模型的有关结论。 相似文献
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江涛 《数学的实践与认识》2008,38(8):46-50
研究了常数利息力度下的破产概率.在索赔来到过程为更新过程,索赔额分布为Pareto型的场合下,得到了有限索赔次数破产概率的渐进表达公式.该结果推广了Kluppelberg和Stadtmuller(1998)和Qihe Tang(2005)的结果. 相似文献