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This article considers a Markov-dependent risk model with a constant dividend barrier. A system of integro-differential equations with boundary conditions satisfied by the expected discounted penalty function, with given initial environment state, is derived and solved. Explicit formulas for the discounted penalty function are obtained when the initial surplus is zero or when all the claim amount distributions are from rational family. In two state model, numerical illustrations with exponential claim amounts are given. 相似文献
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本文研究了带干扰的Erlang(2)风险模型的破产概率.利用延迟更新方法以及全概率公式,获得了积分表达式、二次连续可微性以及微分方程,并且讨论了索赔额分布为指数分布时的情形. 相似文献
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We consider a continuous time risk model based on a two state Markov process, in which after an exponentially distributed time, the claim frequency changes to a different level and can change back again in the same way. We derive the Laplace transform for the first passage time to surplus zero from a given negative surplus and for the duration of negative surplus. Closed-form expressions are given in the case of exponential individual claim. Finally, numerical results are provided to show how to estimate the moments of duration of negative surplus. 相似文献
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本文研究经典风险模型中破产概率的渐近行为.利用几何和的方法,获得了索赔额的分布属于S(γ).γ〉0。时破产概率的一个局部渐近式.同时.给出了一个具体的数值的例子. 相似文献
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胡亦钧 《武汉大学学报(理学版)》1995,(5)
设{Xn}n≥1是一列相互独立且具有相同分布、非负非退化的随机变量序列.S=X1+…+Xn,μEX1,a是X1的分布支撑的上确界.假设EeuX1<∞,u>0.对μ<Xn<a,本文分别讨论了1ogP{Sn≥nxn}及P{Sn≥nxn}J当n→∞时的渐近性质。 相似文献
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设Xε=|Xε(t);0≤t≤1|(ε>0)是由随机发展方程 dXε(t)=ε(1/2)σ(Xε(t))dB(t)+b(Xε(t),ν(t))dt控制的随机过程,其中ν(t)是与Brown运动B(·)独立的随机过程。讨论了|(Xε,ν(·));ε>0|的大偏差性质;在特殊情形下,给出了精确的速率函数,解决了Eizenberg和Freidlin所提的一个问题。此外,还得到一个一般性大偏差定理。 相似文献
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We prove large deviation results on the partial and random sums Sn = ∑i=1n Xi,n≥1; S(t) = ∑i=1N(t) Xi, t≥0, where {N(t);t≥0} are non-negative integer-valued random variables and {Xn;n≥1} are independent non-negative random variables with distribution, Fn, of Xn, independent of {N(t); t≥0}. Special attention is paid to the distribution of dominated variation. 相似文献
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