| 更新模型中的Schmitter问题 |
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| 引用本文： | 杜勇宏,吴荣.更新模型中的Schmitter问题[J].应用概率统计,2003,19(1):40-48. |
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| 作者姓名： | 杜勇宏 吴荣 |
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| 作者单位： | 南开大学数学学院,天津,300071 |
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| 基金项目： | This work is supported by the National Science Foundation of China (19971047). |
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| 摘 要： | Schmitter问题是指在期望和方差固定的条件下，求出使得破产概率最大（小）的索赔分布，F．De Vylder讨论了古典风险模型的情况，本文讨论了更新风险模型的情况，推广了其结果。
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| 关 键 词： | Schmitter问题 更新模型 Lundberg指数 双原子分布摘要 破产概率 风险模型 |
The Bi-atomic Uniform Solution of Schmitter's Problem in Renewal Models |
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| DU YONGHONG Wu RONG.The Bi-atomic Uniform Solution of Schmitter''''s Problem in Renewal Models[J].Chinese Journal of Applied Probability and Statisties,2003,19(1):40-48. |
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| Authors: | DU YONGHONG Wu RONG |
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| Abstract: | The problem posed by Schmitter was to maximize the ruin probability when mean and variance of the claim size distribution axe given. The case in classical risk model are discussed by F. De Vylder in 1997. In this paper, we discuss the case in renewal risk model. |
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| Keywords: | Schmitter's problem Renewal model Lundberg exponent Bi-atomic uniform |
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