| Markov调制风险模型的轨道刻划和概率构造 |
| |
| 引用本文： | 莫晓云,杨向群.Markov调制风险模型的轨道刻划和概率构造[J].应用数学学报,2012,35(3):385-395. |
| |
| 作者姓名： | 莫晓云 杨向群 |
| |
| 作者单位： | 1. 湖南师范大学数学与计算机科学学院,长沙410081;湖南财政经济学院,长沙410205
2. 湖南师范大学数学与计算机科学学院,长沙,410081 |
| |
| 基金项目： | 国家自然科学基金(No:11171101);高性能计算与随机信息处理省部共建教育部重点实验室(HPCsIP,湖南师范大学);教育部高校博士点基金(No:20104306110001);湖南省社科联基金(No:1011051B)资助项目 |
| |
| 摘 要： | 用随机过程的轨道,严格地刻划了Markov调制风险模型U=(Q,G,F;J,s,X),它是已有的Markov调制风险模型的一般化.基于模型U,分别给出带保费率向量C和带税率向量γ的Markov调制风险过程R~u={R~u(t),t≥0}和R~u(γ)={R~u(γ,t),t≥0}.给定特征组A=(Q,G,F),用概率方法构造了模型U.从而为用随机过程理论和方法研究Markov调制风险模型和过程,奠定了严实的随机过程基础.
|
| 关 键 词： | Markov链 Q矩阵 带税率的Markov调制风险过程 轨道 概率构造 |
Path-depict and Probabilistic Construction of the Markov-modulated Risk Model |
| |
| MO XIAOYUN
,
YANG XIANGQUN.Path-depict and Probabilistic Construction of the Markov-modulated Risk Model[J].Acta Mathematicae Applicatae Sinica,2012,35(3):385-395. |
| |
| Authors: | MO XIAOYUN YANG XIANGQUN |
| |
| Institution: | (College of Mathematics and Computer Science,Hunan Normal University,Changsha 410081) |
| |
| Abstract: | The Markov-modulated risk model U =(Q,G,F;J,S,X) is precisely depicted by using paths of stochastic processes,the model is vague generalization of available Markovmodulated risk models now.Based on the model U the Markov-modulated risk processes with premium-rate vector C and tax-vectorγ,R~u = {R~u(t),t≥0} and R~u(γ)= {R~u(γ,t),t≥0},are given respectively.Let a characteristic group A =(Q,G,F) be given,the model U is constructed by using probabilistic method.It establishes a rigorous foundation of stochastic processes researching Markov-modulated risk models and Markovmodulated risk processes by using the theory and methods of stochastic processes. |
| |
| Keywords: | Markov chain Q matrix Markov-modulated risk process with tax-vector trajectory probabilistic construction |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
