| 保费收入随机化的风险模型 |
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| 引用本文： | 王广华,吕玉华.保费收入随机化的风险模型[J].经济数学,2006,23(3):221-228. |
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| 作者姓名： | 王广华 吕玉华 |
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| 作者单位： | 曲阜师范大学数学学院,山东曲阜,273165 |
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| 基金项目： | 国家自然科学基金项目(编号:10271062) |
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| 摘 要： | 本文推广了龚日朝(2001)的风险模型,把保费随机化,利用鞅方法讨论了保单来到过程与索赔来到过程均为Po isson过程的破产概率.接着又讨论了G erber-Sh iu期望折现函数,推导出了其满足的积分方程,以及L ap lace变换.最后利用随机游动的知识,讨论了当保单来到过程与索赔来到过程为同一更新过程时的破产概率.
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| 关 键 词： | 鞅 Gerber-Shiu期望折现函数 破产概率 Laplace变换 随机游动 |
| 修稿时间： | 2006年3月6日 |
PREMIUM INCOME RANDOMIZED RISK MODEL |
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| Wang Guanghua,Lü Yuhua.PREMIUM INCOME RANDOMIZED RISK MODEL[J].Mathematics in Economics,2006,23(3):221-228. |
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| Authors: | Wang Guanghua Lü Yuhua |
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| Abstract: | In this paper,we generalize the risk model of Gong Ri-zhao(2001),and randomize the premium income.Using martngale method,when the aggregate claims process and the premium income process are Poisson process,we discuss the probability of ruin.Then we discuss the Gerber-Shiu discounted penalty function,and obtain the integral equation and the Laplace transform for it.Finally,using the theory of random walks,we discuss the probability of ruin when the aggregate claims process and the premium income process are the same renewal process. |
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| Keywords: | Martingale Gerber-Shiu discounted penalty function probability of ruin Laplace transform random walks |
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