| 奖惩系统在随机优序下的极小与极大平稳分布 |
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| 引用本文： | 伍宪彬,苏杭,成世学.奖惩系统在随机优序下的极小与极大平稳分布[J].经济数学,2005,22(4):331-343. |
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| 作者姓名： | 伍宪彬 苏杭 成世学 |
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| 作者单位： | 浙江万里学院基础学院,浙江,宁波,315110;中国人民大学信息学院,北京,100872 |
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| 摘 要： | 奖惩系统(Bonus-M a lus System)是世界各国机动车辆险中广泛采用的一种经验费率厘定机制.文1]在最一般的框架下,给出了奖惩系统的数学建模与稳态分析.本文将进一步证明,文1]中给出的奖惩系统两种特定的平稳分布恰分别是奖惩系统在随机优序下的极小与极大平稳分布.特别地,基于这一事实严格证明了文1]提出的有关封闭型奖惩系统年度总保费的一个猜想.
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| 关 键 词： | 奖惩系统 马尔科夫链 平稳分布 随机优序 |
| 修稿时间： | 2005年9月1日 |
THE MINIMAL AND MAXIMAL STATIONARY DISTRIBUTIONS OF BONUS-MALUS SYSTEMS UNDER THE STOCHSTIC DOMINANCE ORDER |
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| Wu Xianbin,Su Hang,Cheng Shixue.THE MINIMAL AND MAXIMAL STATIONARY DISTRIBUTIONS OF BONUS-MALUS SYSTEMS UNDER THE STOCHSTIC DOMINANCE ORDER[J].Mathematics in Economics,2005,22(4):331-343. |
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| Authors: | Wu Xianbin Su Hang Cheng Shixue |
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| Abstract: | Bonus-Malus System(BMS)is an experience rating method,which is widely accepted in the automobile insurance markets all over the world.The modeling and equilibrium analysis for BMS are given in 1] under the most general framework.In this paper,we will further show that two special stationary distributions of BMS determined in 1] are just the minimal and maximal stationary distributions of BMS respectively under the stochastic dominance order.Particularly,a conjecture posed in 1],which is related to the total premium of the closed BMS in one year,is rigorously proved based on this fact mentioned above. |
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| Keywords: | Bonus-malus system Markov chain stationary distribution stochastic dominance order |
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