| 带利息力和干扰的批量索赔一般到达风险模型 |
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| 引用本文： | 王炳昌,刘立国,李明.带利息力和干扰的批量索赔一般到达风险模型[J].数学理论与应用,2007,27(2):19-22. |
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| 作者姓名： | 王炳昌 刘立国 李明 |
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| 作者单位： | 中南大学数学科学与计算技术学院 长沙410075 |
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| 摘 要： | 本文在经典风险模型的基础上,将索赔到达过程推广为更新过程,索赔可以批量到达,且带有常数利息力和Brown运动干扰项,得到一个新的风险模型,运用Markov骨架过程的方法,得出盈余过程的瞬时分布和生存概率.
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| 关 键 词： | 更新过程 利息力 Markov骨架过程 批量索赔 |
| 修稿时间： | 2006-11-06 |
The Risk Model of General Arrival of Bulk Claims with Constant Interest Force Perturbed by Diffusion |
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| Wang Bingchang, Liu Liguo, Li Ming.The Risk Model of General Arrival of Bulk Claims with Constant Interest Force Perturbed by Diffusion[J].Mathematical Theory and Applications,2007,27(2):19-22. |
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| Authors: | Wang Bingchang Liu Liguo Li Ming |
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| Institution: | School of Mathematical Science and Computing Technology, Central South University, Changsha, 410075 |
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| Abstract: | In this paper,we extend the classical risk model to a new risk model of renewal arrival of bulk claims with constant interest force and perturbed by Brown motion.Using the method of Markov skeleton processes,we get the transient distribution of surplus process and survival probability. |
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| Keywords: | Renewal processes Interest force Markov skeleton processes Bulk claims |
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