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This paper considers the expected discounted penalty function Φ(u) for the perturbed compound Poisson risk model with stochastic return on investments. After presenting an integro-differential equation that the expected discounted penalty function satisfies, the paper derives the closed form solution by constructing an identical equation. The exact expression for Φ (0) is given using the Laplace transform technique when interest rate is constant. Applications of the results are given to the ruin probability and moments of the deficit at ruin. 相似文献
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In this paper,the expressions of tail value of risk(TVaR)and exponential tail value of risk(EVaR)for the total risk portfolio are given,which are splitted into two cases: the bivariate case and the multivariate case according to the number of the insurances.Then the risk contributions of the insurances portfolio and the credit portfolio are also obtained. Further more,for clarifying the above results,a numerical example is given. 相似文献
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一可修系统的最优检测更新模型 总被引:1,自引:0,他引:1
本文研究了由一个部件和一个修理工组成的检测更新模型。部件不能“修复如新”。其寿命和修理时间均服从一般分布。在假设最大的修理次数为K—1的条件下,证明了最优检测时间T的存在,此时模型取得最大经济效益。 相似文献
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We consider the discounted aggregate claims when the insurance risks and financial risks are governed by a discrete-time Markovian environment.We assume that the claim sizes and the financial risks fluctuate over time according to the states of economy,which are interpreted as the states of Markovian environment.We will then determine a system of differential equations for the Laplace-Stieltjes transform of the distribution of discounted aggregate claims under mild assumption.Moreover,using the differentio-integral equation,we will also investigate the first two order moments of discounted aggregate claims in a Markovian environment. 相似文献
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