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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 |
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| 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 |
| Affiliation: | 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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