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排序方式: 共有65条查询结果,搜索用时 93 毫秒
1.
双险种的Cox风险模型   总被引:15,自引:0,他引:15  
由于保险公司经营规模的不断扩大,险种类型的增多,用古典风险模型及其其它推广的单一险种风险模型来研究其风险经营过程存在着局限性,因而需要建立多险种的风险模型。本文研究了一类两种险种且理赔次数服从Cox过程的模型。得到了破产概率满足推广的Lundberg不等式。以及在特殊情况时ψ(0)的明确表达式。  相似文献
2.
Ruin Probabilities under a Markovian Risk Model   总被引:5,自引:0,他引:5  
In this paper, a Markovian risk model is developed, in which the occurrence of the claims is described by a point process {N(t)}t≥0 with N(t) being the number of jumps of a Markov chain during the interval [0, t]. For the model, the explicit form of the ruin probability ψ(0) and the bound for the convergence rate of the ruin probability ψ(u) are given by using the generalized renewal technique developed in this paper.Finally, we prove that the ruin probability ψ(u) is a linear combination of some negative exponential functions in a special case when the claims are exponentially distributed and the Markov chain has an intensity matrix(qij)i,j∈E such that qm = qml and qi=qi(i 1), 1≤i≤m-1.  相似文献
3.
带马氏利率的离散时间风险模型的破产概率   总被引:4,自引:0,他引:4  
本文考虑一类保费和理赔额均为随机变量,且利率为马氏链的离散时间风险模型。推出了有限时间和最终时间破产概率的递归方程,并用归纳法得到了最终时间破产概率的上界表达式。  相似文献
4.
常利率因素下的双险种风险模型   总被引:3,自引:0,他引:3  
本文引入了一类常利率因素下的双险种风险模型,就不带干扰和带干扰两个方面进行讨论,给出了破产概率Ψ(u)的显式表达式和Lundberg上界。  相似文献
5.
一类带干扰风险过程的破产概率的估计   总被引:3,自引:0,他引:3  
In this paper,a class of risk processes perturbed by diffusion are considered. The Lundberg inequalities for the ruin probability are obtained. The size of the Lundberg exponents for different kinds of risk model is compared. The numerical illustration for the impact of the parameters on the ruin probability is given.  相似文献
6.
In this paper, we consider the Gerber-Shiu discounted penalty function for the Sparre Anderson risk process in which the interclaim times have a phase-type distribution. By the Markov property of a joint process composed of the risk process and the underlying Markov process, we provide a new approach to prove the systems of integro-differential equations for the Gerber-Shiu functions. Closed form expressions for the Gerber-Shiu functions are obtained when the claim amount distribution is from the rational family. Finally we compute several numerical examples intended to illustrate the main results.  相似文献
7.
Risk process with stochastic income and two-step premium rate   总被引:1,自引:0,他引:1  
In this paper we deal with the risk reserve process with stochastic premium function. We assume that the premiums sizes have exponential distribution with the rate depending on some threshold level. The representation for the discounted defective joint density of surplus and deficit at ruin is obtained.  相似文献
8.
Compound geometric residual lifetime distributions and the deficit at ruin   总被引:1,自引:0,他引:1  
Some reliability based properties of compound geometric distributions are derived using an approach motivated by the analysis of the deficit at ruin in a renewal risk theoretic setting. Implications for generalizing the result of Cai and Kalashnikov [J. Appl. Prob. 37 (2000) 283–289] are discussed. Subsequently, analysis of the distribution of the deficit itself in the renewal risk setting is considered. The regenerative nature of the ruin problem in the renewal risk model is exploited to study exact and approximate properties of the deficit at ruin (given that ruin occurs). Central to the discussion are the compound geometric components of the maximal aggregate loss. The proper distribution of the deficit, given that ruin occurs, is a mixture of residual ladder height distributions, from which various exact relationships and bounds follow. The asymptotic (in the initial surplus) distribution of the deficit is also considered. Stronger results are obtained with additional assumptions about the interclaim time or claim size distribution.  相似文献
9.
In this paper, a multi-dimensional risk model with common shocks is studied. Using a simple probabilistic approach via observing the risk processes at claim instants, recursive integral formulas are developed for the survival probabilities as well as for a class of Gerber-Shiu expected discounted penalty functions that include the surplus levels at ruin. Under the assumption of exponential or mixed Erlang claims, the recursive integrals can be simplified to give recursive sums which are computationally more tractable. Numerical examples including an optimal capital allocation problem are also given towards the end.  相似文献
10.
本文考虑了带多阈值两类索赔到达风险模型,在假定两类索赔到达过程均为phase-type 分布时,建立了期望折现罚函数所满足的积分-微分方程.并通过拉普拉斯变换讨论了方程的解.  相似文献
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