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Erlang(2)风险过程在阈红利策略下的破产概率

Ruin Probability in Erlang (2) Risk Process with Threshold Strategy
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摘要 研究了阈红利策略的Erlang(2)风险模型的破产问题,即给出了最终破产概率的两个微积分方程,推导出了它的解或更新方程.在索赔额为指数分布条件下计算出了相应的数值结果. Erlang（2）risk process with threshold dividend strategy is researched, which two integro-differential equations for the probability of ultimate ruin are obtained and solutions or renewal equations are also derived. Numerical results under exponen- tial individual claims are calculated.
作者 杨莉 田兴虎 高岳林
机构地区 北方民族大学信息与计算科学学院 银川外国语实验学校
出处 《宁夏师范学院学报》 2010年第3期85-91,共7页 Journal of Ningxia Normal University
基金 国家社会科学基金资助项目(07XJY038) 国家教育部社科规划项目(06JA630056) 北方民族大学科研基金项目(2009y034)
关键词 阈红利策略 两步保费率 ERLANG(2)风险过程 最终破产概率 Threshold dividend strategy Two-step premium rate Erlang（2） risk process The probability of ultimate ruin
分类号 O211.9 [理学—概率论与数理统计]
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参考文献10

  • 1De Finetti,B.Su un'impostazione alternativa della teoria collettiva del rischio[J].Proceedings of the Transactions of the XV International Congress of Actuaries,1957,2:433-443.
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  • 3Lin XS,Willmot GE,Drekic S.The classical risk model with a constant dividend barrier:analysis of the Gerber-Shiu discounted penalty function[J].Insurance:Mathematics and Economics,2003,33:551-566.
  • 4温家振,叶俊,陈辉.常量红利界下服从Erlang(2)过程的风险模型分析[J].统计与决策,2005,21(06X):17-19. 被引量：2
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  • 8Dickson DCM,Hipp C.On the time of ruin for Erlang(2)risk processes[J].Insurance:Mathematics and Economics,2001,29:333-344.
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二级参考文献5

  • 1Gerber,H.U.,Shiu,E.S.W.On the time value of ruin[J]. North American Actuarial Journal, 1998, 2(1):48-78.
  • 2Gerber,H.U.,Shiu,E.S.W.The joint distribution of the time of ruin, the surplus immediately before ruin, and the defieit at ruin[J]. Insuranee: Mathematies and Economics, 1997, 21:129-137.
  • 3X.Sheldon Lin,Gordon E.Willmot, Steve Drekic.The classical risk model with a constant dividend barrier: analysis of the Gerbershiu discounted penalty function[J]. Insurance: Mathematics and Economics, 2003, 33:551-566.
  • 4Cary Chi-Liang Tsai, U-juan Sun. On the discounted distribution functions for the Erlang(2) risk process[J]. Insurance: Mathematics and Economics, 2004, 35:5-19.
  • 5Dickson,D.C.M. and Hipp,C.On the time to ruin for Erlang(2)risk processes[J]. Insurance: Mathematics and Economics, 2001,29:333-344.

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宁夏师范学院学报
2010年 第3期

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