| 索赔额是指数分布的马氏风险模型的破产概率 |
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| 引用本文： | 金士伟.索赔额是指数分布的马氏风险模型的破产概率[J].运筹学学报,2010,14(1):77-84. |
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| 作者姓名： | 金士伟 |
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| 作者单位： | 上海立信会计学院数学与信息学院,上海,201620 |
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| 基金项目： | 中国立信风险管理研究院重点项目资助 |
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| 摘 要： | 本文研究了马氏风险模型的破产概率,在索赔额服从指数分布或混合指数分布情形,通过解破产概率所满足的微积方程组,给出了破产概率的解析表达式.
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| 关 键 词： | 运筹学 风险模型 破产概率 混合指数分布 |
The Ruin Probability for Markov Risk Model with Claim Amounts Being Exponentially Distributed |
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| Jin Shiwei.The Ruin Probability for Markov Risk Model with Claim Amounts Being Exponentially Distributed[J].OR Transactions,2010,14(1):77-84. |
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| Authors: | Jin Shiwei |
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| Institution: | Jin Shiwei Department of Mathematics , Statistics,Shanghai Lixin University of Commerce,Shanghai 201620,China |
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| Abstract: | The ruin probability for a Markov risk model is considered in the paper. In the case where the claim distribution is exponential or mixed exponential,the explicit form of the ruin probability is given by solving the differential-integral systems satisfied by the ruin probability. |
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| Keywords: | Operations research risk model ruin probability mixed exponential distribution |
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