共查询到18条相似文献,搜索用时 93 毫秒
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研究两类具有相依结构的离散时间风险模型的破产概率问题.其中,索赔和利率过程假设为2个不同的自回归移动平均模型.利用更新递归技巧,首先得到了该模型下破产概率所满足的递归方程.然后,根据该递归方程得到了破产概率的上界估计.最后对两类风险模型的破产概率的上界进行了比较. 相似文献
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研究一类离散时间风险模型的破产概率.在保费收入和利率同时为离散时间Markov链,索赔额为独立情形下,利用更新迭代方法得到最终时间破产概率的Lundberg型上界. 相似文献
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离散时间的双Poisson模型的破产概率 总被引:6,自引:0,他引:6
本文在离散复合Poisson风险模型的基础上,研究保费的收取也为一个Poisson过程的模型, 在保费收取量和理赔量都离散取整数值时,我们运用转移概率推导出了保险公司在有限时间内破产的概率以及最终破产概率的级数表达式和矩阵表达式. 相似文献
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本文研究了离散的三项分布风险模型,在调节系数存在的前提下,借助于离散更新方程的一个极限定理,对于充分大的初始盈余给出了最终破产概率、破产前一刻的盈余和破产时赤字的概率的渐近解.其结果可以在离散的多项分布风险模型中得到推广. 相似文献
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在随机利率服从有限齐次Markov链下,建立相关险种离散风险模型,采用递推方法得到了有限时间破产概率的递推等式和最终破产概率的积分等式;给出了有限时间破产概率和最终破产概率的上界,导出了破产时刻余额分布的计算等式. 相似文献
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研究了一类相依索赔的离散风险模型,得到了利率为0时模型的最终破产概率所满足的积分方程,以及破产持续n期的概率所满足的表达式.进而,得到了利率不为0时该模型的最终破产概率所满足的积分方程,并利用鞅论技巧导出了最终破产概率的一个Lundberg型上界,最后运用Matlab软件随机模拟破产概率并与Lundberg型上界作比较. 相似文献
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对于一类推广的复合Poisson风险模型,利用破产概率所满足的一个瑕疵更新方程以及离散寿命分布类的性质获得了关于最终破产概率的函数型上界估计. 相似文献
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This paper deals with the discrete-time risk model with nonidentically distributed claims. The recursive formula of finite-time
ruin probability is obtained, which enables one to evaluate the probability of ruin with desired accuracy. Rational valued
claims and nonconstant premium payments are considered. Some numerical examples of finite-time ruin probability calculation
are presented. 相似文献
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In this paper, we consider the compound discrete-time risk model which is a modification of the classical discrete-time (compound
binomial) risk model. In this model, the claims in each fixed subsequent time interval arrive independently, and their number
is random. We find the asymptotics of finite-horizon ruin probability in such a model for a subclass of heavy-tailed claim
sizes and claim numbers. 相似文献
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We prove that a large class of discrete-time insurance surplus processes converge weakly to a generalized Ornstein–Uhlenbeck process, under a suitable re-normalization and when the time-step goes to 0. Motivated by ruin theory, we use this result to obtain approximations for the moments, the ultimate ruin probability and the discounted penalty function of the discrete-time process. 相似文献
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In this paper, we propose a discrete-time model with dependent classes of business using a time-series approach. Specifically, premiums and claims of all classes are supposed to satisfy a multivariate first-order autoregressive time-series model. A constant interest rate is also included in the model. A Lundberg-type inequality for the ruin probability is deduced. We also give an example with constant premiums and two classes of claims for which an expression as well as an exponential bound for the ruin probability is given. A simulation study is provided to help understanding the model. 相似文献
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In this paper, we extend the methodology of Alfa and Drekic (ASTIN Bull 37:293–317, 2007) to analyze a discrete-time, delayed Sparre Andersen insurance risk model featuring a single threshold level and randomized
dividend payments. Using matrix analytic techniques, we construct a set of computational procedures enabling one to calculate
probability distributions associated with fundamental ruin-related quantities of interest, namely the time of ruin, the surplus
immediately prior to ruin, and the deficit at ruin. Special cases of the general model, including the ordinary and stationary
Sparre Andersen variants, are examined in several numerical examples. 相似文献