| 具有两类索赔相关风险过程的罚金折现函数 |
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| 引用本文： | 张燕,田铮,刘向增.具有两类索赔相关风险过程的罚金折现函数[J].数学的实践与认识,2008,38(23). |
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| 作者姓名： | 张燕 田铮 刘向增 |
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| 作者单位： | 1. 解放军理工作大学,理学院,南京,211101;西北工业大学,数学系,西安,710072
2. 西北工业大学,数学系,西安,710072 |
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| 基金项目： | 国家自然科学基金
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国家航空基金
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| 摘 要： | 考虑两类索赔相关风险过程.两类索赔计数过程分别为独立的Poisson和广义Erlang(2)过程.将该过程转换为两类独立索赔风险过程,得到了该过程的罚金折现函数满足的积分微分方程及该函数的拉普拉斯变换的表达式,且当索赔额服从指数分布时,给出了罚金折现函数及破产概率的表达式.
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| 关 键 词： | Poisson过程 广义Erlang(2)过程 罚金折现函数 破产概率 拉普拉斯变换 |
The Expected Discounted Penalty Functions for Two Correlated Aggregate Claims Model |
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| ZHANG Yan,TIAN Zheng,LIU Xiang-zeng.The Expected Discounted Penalty Functions for Two Correlated Aggregate Claims Model[J].Mathematics in Practice and Theory,2008,38(23). |
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| Authors: | ZHANG Yan TIAN Zheng LIU Xiang-zeng |
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| Institution: | 1;2;1.Institute of Science;PLA University of Science and Technology;Nanjing 211101;China;2.Department of Mathematics.Northwestern Polytechnical University;Xi'an 710072;China |
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| Abstract: | We consicler a risk model with two dependent classes of insurance husiness.In this model the two claim number processes are correlated.Claim occurrence of both classes relate to generalized Poisson and generalized Erlang(2)processes.Firstly,integro-differential equations satisfied by the expected discounted penalty functions are derived by changing the model into two independent model,Laplace transforms of the expected discounted penalty functions are obtained.Secondly.explicit expressions for the expected ... |
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| Keywords: | poisson process generalizcd Erlang(2)process expected discounted penalty functions ruin probability laplace transforms |
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