Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models

The structure of various Gerber-Shiu functions in Sparre Andersen models allowing for possible dependence between claim sizes and interclaim times is examined. The penalty function is assumed to depend on some or all of the surplus immediately prior to ruin, the deficit at ruin, the minimum surplus before ruin, and the surplus immediately after the second last claim before ruin. Defective joint and marginal distributions involving these quantities are derived. Many of the properties in the Sparre Andersen model without dependence are seen to hold in the present model as well. A discussion of Lundberg’s fundamental equation and the generalized adjustment coefficient is given, and the connection to a defective renewal equation is considered. The usual Sparre Andersen model without dependence is also discussed, and in particular the case with exponential claim sizes is considered.     

几类随机序关系关于随机最大与随机最小的反向封闭性质

研究了右扩展序、TTT序、单调增凸序和单调增凹序分别关于随机最大与随机最小的反向封闭性质, 并讨论了相关年龄概念关于随机最大与随机最小的反向封闭性质.     

Proximity between life distributions and exponential distributions (II)

This paper is a continuation of the foregoing one [1]. In this paper, we study the proximity between exponential distributions and life distributions in variousW-type classes, whereW-type classes indicate DFR, DFRA, NWU, NWUE, IMRL and HNWUE.This research was partially supported by the National Natural Science Foundation of China.     

一般δ-冲击模型及其最优更换策略

本文讨论了一种具有一般δ-冲击的可修系统，我们不仅给出了该系统的一些可靠性指标，如系统的可靠度，系统平均工作时间，系统工作时间的极限分布等，而且对该可修系统的分布性质也进行了研究．在Poisson冲击下，我们证明了该系统的寿命分布是NBU的．在该系统为”修复非新”时，我们利用几何过程考虑了以系统的故障次数N为更换策略，以长期运行单位时间内的期望费用为目标函数，通过目标函数最小化确定了最优更换策略．最后我们给出了一个数值例子．     

Refinements of two-sided bounds for renewal equations

Many quantities of interest in the study of renewal processes may be expressed as the solution to a special type of integral equation known as a renewal equation. The main purpose of this paper is to provide bounds for the solution of renewal equations based on various reliability classifications. Exponential and nonexponential types of inequalities are derived. In particular, two-sided bounds with specific reliability conditions become sharp. Finally, some examples including ultimate ruin for the classical Poisson model with time-dependent claim sizes, the joint distribution of the surplus prior to and at ruin, and the excess life time, are provided.     

Compound geometric residual lifetime distributions and the deficit at ruin

Some reliability based properties of compound geometric distributions are derived using an approach motivated by the analysis of the deficit at ruin in a renewal risk theoretic setting. Implications for generalizing the result of Cai and Kalashnikov [J. Appl. Prob. 37 (2000) 283–289] are discussed. Subsequently, analysis of the distribution of the deficit itself in the renewal risk setting is considered. The regenerative nature of the ruin problem in the renewal risk model is exploited to study exact and approximate properties of the deficit at ruin (given that ruin occurs). Central to the discussion are the compound geometric components of the maximal aggregate loss. The proper distribution of the deficit, given that ruin occurs, is a mixture of residual ladder height distributions, from which various exact relationships and bounds follow. The asymptotic (in the initial surplus) distribution of the deficit is also considered. Stronger results are obtained with additional assumptions about the interclaim time or claim size distribution.     

更新风险模型破产赤字概率的上界

本文给出了更新风险模型破产赤字上界的一种算法,这种算法通过引入一个单调积分算子,得到了比Cramer-Lundberg上界更好的一些结果。