| 带干扰phaes-type风险模型中的最大盈余及相关分布 |
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| 引用本文： | 江五元.带干扰phaes-type风险模型中的最大盈余及相关分布[J].应用数学学报,2011,34(5). |
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| 作者姓名： | 江五元 |
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| 作者单位： | 湖南理工学院数学学院,岳阳,414006 |
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| 基金项目： | 湖南省教育厅(10C0754)资助项目 |
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| 摘 要： | 本文考虑了索赔时间间距为phase-type分布时带干扰更新风险模型中的破产前最大盈余、破产后赤字的分布,建立了相应的积分-微分方程.最后,讨论了当索赔时间间距为Erlang(2)分布且索赔量满足指数分布时的特殊情形.
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| 关 键 词： | phase-type分布 干扰风险过程 破产前最大盈余 破产后盈余分布 积分-微分方程 |
The Maximum Surplus in the Phase-type Risk Model Perturbed by Diffusion and Related Distributions |
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| JIANG WUYUAN.The Maximum Surplus in the Phase-type Risk Model Perturbed by Diffusion and Related Distributions[J].Acta Mathematicae Applicatae Sinica,2011,34(5). |
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| Authors: | JIANG WUYUAN |
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| Institution: | JIANG WUYUAN (Department of Mathematics,Hunan Institute of Science and Technology,Yueyang 414006) |
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| Abstract: | In this paper,we consider a perturbed sparre andersen model by diffusion in which the claim inter-arrival times are the phase-type distributions.We prove some properties of the maximum surplus before ruin of the risk process before ruin when ruin occurs and the surplus distribution at the time of tuin.Integro-differential equations are derived. Finally,to illustrate these results,the special case where the inter-claim times are Erlang (2) distributed and the claim size distribution is exponential is conside... |
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| Keywords: | phase-type distribution diffusion risk process maximum surplus before ruin surplus distribution at the time of ruin integro-differential equation |
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