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复合马尔可夫二项模型的Gerber-Shiu折现罚金函数
引用本文:方世祖,张春梅,赵培臣,孙歆.复合马尔可夫二项模型的Gerber-Shiu折现罚金函数[J].应用概率统计,2011,27(5):460-472.
作者姓名:方世祖  张春梅  赵培臣  孙歆
作者单位:1. 西安交通大学理学院,西安,710049;广西大学数学与信息科学学院,南宁,530004
2. 广西大学数学与信息科学学院,南宁,530004
3. 菏泽学院数学系,菏泽,274015
基金项目:supported by SF of Guangxi University(X071085)
摘    要:本文研究复合马尔可夫二项模型的Gerber-Shiu折现罚金函数,得到了有条件和无条件的Gerber-Shiu折现罚金函数所满足的瑕疵更新方程.然后给出这些折现罚金函数的渐近表达式.

关 键 词:复合马尔可夫二项模型  相关性  Gerber-Shiu折现罚金函数  渐近表达式  破产概率

The Gerber-Shiu Discounted Penalty Function in the Compound Markov Binomial Model
FANG SHIZU,ZHANG CHUNMEI,ZHAO PEICHEN,SUN XIN.The Gerber-Shiu Discounted Penalty Function in the Compound Markov Binomial Model[J].Chinese Journal of Applied Probability and Statisties,2011,27(5):460-472.
Authors:FANG SHIZU  ZHANG CHUNMEI  ZHAO PEICHEN  SUN XIN
Institution:Fang Shizu~(1,2) ZHANG CHUNMEI~2 ZHAO PEICHEN~3 SUN XIN~2 (1 School of Science,Xi'an Jiaotong University,Xi'an,710049) (2 School of Mathematics and Information Science,Guangxi University,Nanning,530004) (3 Department of Mathematics,Heze University,Heze,274015)
Abstract:In this paper,we consider the compound Markov binomial model proposed by Cossette et al.(2003).The defective renewal equations for the conditional and unconditional Gerber-Shiu discounted penalty function are obtained.The asymptotic expressions for the Gerber-Shiu discounted penalty function are then provided.
Keywords:Compound Markov binomial model  dependence    Gerber-Shiu discounted penalty function  asymptotic expression  ruin probability
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