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广义复合马尔可夫二项模型的破产概率(英文)

Ruin Probabilities in the Extended Compound Markov Binomial Model
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摘要 将复合马尔可夫二项模型推广为保费收取过程而得到广义复合马尔可夫二项模型并研究其破产概率.给出该模型破产概率的递推公式及其Lundberg型指数的上界. The compound Markov binomial model which was first proposed by Cossette et al. （2003） is extended to the case where the premium income process, based on a binomial process,is no longer a linear function and its ruin probability is investigated. Recursive formulas are provided for the computation of the ruin probabilities. The Lundberg exponential bound is derived for the ruin probability.
作者 方世祖 张春梅 孙歆 赵培臣
机构地区 西安交通大学理学院 北京市大兴区第五中学 广西大学数学与信息科学学院
出处 《广西科学》 CAS 2008年第3期269-273,共5页 Guangxi Sciences
基金 SF of Guangxi University(X071085) the SF of Guangxi(0542044)
关键词 复合二项模型 Markov二项 破产概率 Lundberg型指数 compound binomial model, Markov binomial,ruin probability,Lundberg exponential
分类号 O211.67 [理学—概率论与数理统计]
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参考文献10

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广西科学
2008年 第3期

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