| 离散随机序在复合二项破产模型中的应用 |
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| 引用本文： | 李明明,成世学.离散随机序在复合二项破产模型中的应用[J].经济数学,2003,20(3):1-11. |
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| 作者姓名： | 李明明 成世学 |
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| 作者单位： | 中国人民大学信息学院,北京,100872 |
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| 基金项目： | 国家自然科学基金资助项目 ( No.199710 95 ) |
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| 摘 要： | 本文的内容由三部分组成 .首先 ,在简述复合二项破产模型近期已得的相关成果的基础上 ,给出了最终破产概率的复合几何分布表示 ;接着 ,在概述了离散随机优序与停止损失序的主要结果后 ,首次提出了幂序的概念 ;最后 ,借助上述离散随机序 ,在复合二项破产模型中探讨了个体索赔额对于最终破产概率与调节系数的影响
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| 关 键 词： | 随机优序 停止损失序 幂序 复合二项破产模型 破产概率 调节系数 |
| 修稿时间： | 2003年4月5日 |
THE APPLICATION OF DISCRETE STOCHASTIC ORDER TO COMPOUND BINOMIAL RUIN MODEL |
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| Li Mingming,Cheng Shixue.THE APPLICATION OF DISCRETE STOCHASTIC ORDER TO COMPOUND BINOMIAL RUIN MODEL[J].Mathematics in Economics,2003,20(3):1-11. |
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| Authors: | Li Mingming Cheng Shixue |
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| Abstract: | This paper consists of three parts. First, after reviewing some related results deduced recently for the compound binomial ruin model, it is shown that the ultimate ruin probability can be expressed as a compound geometric distribution. Next, the main results of discrete stochastic dominance order and stop loss order are sketched. Specially, a new stochastic order, power order, is first introduced. Finally, in virtue of all stochastic orders mentioned above, we explore how the individual claim affects the ruin probability and adjustment coefficient in compound binomial ruin model. |
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| Keywords: | Stochastic dominance order stop loss order power order compound binomial ruin model ruin probability adjustment coefficient |
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