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一类随机保费率下带干扰的风险模型 被引量：2

Risk Model Perturbed by Diffusion with Random Premium Rate
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摘要 在保费率为任意离散的随机变量的情况下,用随机过程的方法得出破产概率、末离前最大盈余分布、破产时、破产前瞬时盈余与破产时赤字的联合分布等精算量分布的具体表达式。 In the case that insurance premium rate is any discrete random variable, the exact expressions for actuarial diagnostics, such as the ruin probability, the distribution of extreme surplus before ruin, the joint distribution of the surplus immediately before ruin, the deficit at ruin and the ruin time, are concluded through stochastic method.
作者 孔祥立 吕玉华
机构地区 曲阜师范大学数学科学学院
出处 《安庆师范学院学报（自然科学版）》 2009年第1期31-33,65,共4页 Journal of Anqing Teachers College(Natural Science Edition)
基金 曲阜师范大学校基金(XJ0615)资助
关键词 风险模型 破产概率 生存概率 最大盈余 破产前瞬间盈余 破产时赤字 随机保费率 risk model, ruin probability, survival probability, extreme surplus, surplus immediately before ruin, deficit at ruin, random premium rate
分类号 O211.9 [理学—概率论与数理统计]
  • 相关文献

参考文献7

  • 1Gerber, H.U. An extension of the renewal equation and its application in the collective theory of risk[J]. Scandinavian Actuarial Journal ,1970: 205-210.
  • 2Dufresne, F. ,Gerber, H.U. Risk theory for the compound Poisson process that is perterbed by diffusion[J].Insurance.. Mathematics and Economics ,1991 (10):51-59.
  • 3Guojing Wang, Rong Wu. Some distributions for classical risk process that is perturbed by diffusion[J]. Insurance.. Mathematics and Economics, 2000 (26):15-24.
  • 4Chunsheng Zhang, Guojing Wang. The joint density function of three characteristics on jump-diffusion risk process[J]. Insurance: Mathematics and Economics. 2003 (32) : 445-455.
  • 5蔡高玉,耿显民.一类随机保费率下的风险模型[J].应用数学与计算数学学报,2007,21(1):27-33. 被引量：13
  • 6毕秀春,王新华,李荣.带干扰古典风险模型的极值联合分布[J].曲阜师范大学学报（自然科学版）,2004,30(2):19-23. 被引量：6
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二级参考文献13

  • 1Francois Dufresne, Hans U Gerber. Risk theory for the compound Poisson process that is perturbed by diffusion [ J ]. Insurance: MathEcon, 1991, 10:51 ～ 59.
  • 2Philippe Picard. On Some measures of the Severity of Ruin in the Poisson Model[J]. Insurance: Math Econ, 1994, 14:107 ～ 115.
  • 3Guojing Wang, Rong Wu. Some distribusions for classical risk process that is perturbed by diffusion[J]. Insurance: Math Econ, 2000,26: 15～24.
  • 4Guojing Wang. A decomposition of ruin probability for the risk process perturbed by diffusion[J]. Insurance: Math Econ, 2001, 28:49 ～59.
  • 5Zhang, C. Some problem on the classical risk model perturbed by diffusion and a class of insurance risk models[D]. Nankai University,1997.
  • 6汉斯U盖伯 成世学 严颖 译.数学风险论导引[M].北京:世界图书出版公司,1997.36-39.
  • 7Rolski T., Schmidli H., Schmidt V. and Teugels J. Stochastic Processes for Insurance and Finance [M]. Wiley and Sons, New York, 1999.
  • 8Gerber H．U．数学风险论导引[M]．(成世学，严颖译).北京：世界图书出版公司，1997．
  • 9David C.M.Dickson. On the distribution of the surplus prior to ruin [J]. Mathematics and Economics, 1992, 11: 191-207.
  • 10David C.M.Dickson. On the distribution of the claim causing ruin [J]. Mathematics and Economics, 1993, 12: 143-154.

共引文献19

同被引文献14

  • 1高明美,赵明清.双-Poisson模型下盈余首次达到给定水平的时间分析[J].应用数学,2002,15(S1):170-172. 被引量：4
  • 2毛泽春,刘锦萼.索赔次数为复合Poisson-Geometric过程的风险模型及破产概率[J].应用数学学报,2005,28(3):419-428. 被引量：121
  • 3于金酋.保险数学中若干问题的研究[D].武汉:武汉大学图书馆,2008.
  • 4GERBER H U. When does the surplus reach a given target [ J ]. Insurance. Mathematics and Economics, 1990(9) :115 - 119.
  • 5张波,张景肖.应用随机过程[M].北京:清华大学出版社,2006:45-94.
  • 6胡迪鹤.随机过程[M].武汉:武汉大学出版社,2006:32-65.
  • 7胡迪鹤.随机过程论.武汉:武汉大学出版社.2005.
  • 8Berber H U. When does the surplus reach a given target? Insurance: Mathematics and Economics, 1990, 9:115-119.
  • 9Reis A E. How long is the surplus below zero? Iusurance: Mathematics and Economics, 1993, 12:23-38.
  • 10Dickson D C M, Reis A D. On the distribution of the duration of negative surplus. Scandinavian Actuarial Journal, 1996, 2:148-164.

引证文献2

二级引证文献9

安庆师范学院学报（自然科学版）
2009年 第1期

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