| 一类相依双险种风险模型的罚金折现期望函数 |
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| 引用本文： | 聂高琴,刘次华. 一类相依双险种风险模型的罚金折现期望函数[J]. 数学的实践与认识, 2010, 40(4) |
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| 作者姓名： | 聂高琴 刘次华 |
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| 作者单位： | 1. 首都经济贸易大学,统计学院,北京,100070
2. 华中科技大学,数学与统计学院,湖北,武汉,430074 |
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| 基金项目： | 北京市自然科学基金(70073018); 首都经济贸易大学校内项目(2009XJ014) |
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| 摘 要： | 考虑索赔到达具有相依性的一类双险种风险模型,其中第一类险种的索赔计数过程为Poisson过程,第二类险种的索赔计数过程为其p-稀疏过程与广义Erlang(2)过程的和,利用更新论证得到了此风险模型的罚金折现期望函数满足的微积分方程及其Laplace变换的表达式.并就索赔额均服从指数分布的情形,给出了罚金函数及破产概率的精确表达式.
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| 关 键 词： | 广义Erlang(2)过程 p-稀疏过程 罚金折现期望 Laplace变换 破产概率 |
The Expected Discounted Penalty Function in a Kind of Department Risk Model with Double-type-insurance |
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| NIE Gao-qin,LIU Ci-hua. The Expected Discounted Penalty Function in a Kind of Department Risk Model with Double-type-insurance[J]. Mathematics in Practice and Theory, 2010, 40(4) |
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| Authors: | NIE Gao-qin LIU Ci-hua |
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| Affiliation: | NIE Gao-qin~1,LIU Ci-hua~2 (1.School of Statistics,Capital University of Economics , Business,Beijing 100070,China) (2.School of Mathematics , Statistics,Huazhong University of Science , Technology,Wuhan 430074,China) |
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| Abstract: | We consider a risk odel involving two dependent classed of claims arrivals,where the claim number process of the first class is Poisson process,and the second is the sum of its p-thinning process and generalized Erlang(2) process.We get the integro-differential equation satisfied by the expected discounted penalty function by the renewal argument,and Laplace transform of it is derived from the equation.Explicit results of the penalty function and the ruin probability are derived when the claims from both cl... |
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| Keywords: | generalized Erlang(2) process p-thinning process expected discounted penalty Laplace transform ruin probability |
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