期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

带干扰广义Elang(n)风险过程的破产前最大盈余(英文) 被引量：1

The Maximum Surplus before Ruin in a Generalized Erlang(n) Risk Process Perturbed by Diffusion
下载PDF
导出
摘要 本文考虑了索赔时间间距为广义Erlang(n)分布的带干扰更新(Sparre Andersen)风险过程. 所用的方法类似于Albrecher, et al.(2005), 即将广义Erlang(n)随机变量分解成n个独立的指数随机变量的和. 建立了破产前最大盈余所满足的积分-微分方程, 讨论了索赔量分布为Km分布时的特殊情形. In this paper,we discuss a renewal risk process（Sparre Andersen risk model） perturbed by diffusion in which the claim inter-arrival times are generalized Erlang（n） distributed.The approach used is similar to that of Albrecher,et al.（2005）,decomposing a generalized Erlang（n） random variable into an independent sum of n exponential random variables.Integro-differential equations with certain boundary conditions for the distribution of the maximum surplus before ruin are obtained.The special case where the claim size distribution is a Km distribution is considered.
作者 江五元 刘再明
机构地区 湖南理工学院数学学院 中南大学数学学院
出处 《应用概率统计》 CSCD 北大核心 2011年第3期256-264,共9页 Chinese Journal of Applied Probability and Statistics
基金 Supported by the Research Foundation of Education Bureau of Hunan Province (10C0754)
关键词 广义Erlang(n)分布 破产前最大盈余 Km分布 积分-微分方程 阈值红利策略 Generalized Erlang（n） distributed maximum surplus before ruin Km distribution integro-differential equation threshold dividend strategy.
分类号 O211.6 [理学—概率论与数理统计]
  • 相关文献

参考文献17

  • 1Li, S. and Garrido, J., On ruin for Erlang(n) risk process, Insurance: Mathematics and Economics, 34(2004), 391-408.
  • 2Li, S. and Garrido, J., On a class of renewal risk models with a constant dividend barrier, Insurance: Mathematics and Economics, 35(2004), 691-701.
  • 3Li, S. and Dickson, D.C.M., The maximum surplus before ruin in an Erlang(n) risk process and related problems, Insurance: Mathematics and Economics, 38(2006), 529-539.
  • 4De Finetti, B., Su un'impostazione alternativa delia teoria collettival del rischio, Proceedings of the Transactions of the XVth International Congress of Actuaries, 2(1957), 433-443.
  • 5Albrecher, H., Claramunt, M. and Marmol, M., On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times, Insurance: Mathematics and Economics, 37(2005), 324-334.
  • 6Bfihlmann, H., Mathematical Mothods in Risk Theory, Springer, New York, 1970.
  • 7Lin, X.S., Willmot, G.E. and Drekic, S., The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function, Insurance: Mathematics and Economics, 33(2003), 551-566.
  • 8Lin, X.S. and Pavlova, K.P., The compound Poisson risk model with a threshold dividend strategy, Insurance: Mathematics and Economics, 38(2006), 57-80.
  • 9Gerber, H.U., An extension of the renewal equation and its application in the collective theory of risk, Scandinavian Aktuarietidskrift, 53(1970), 205-210.
  • 10Gerber, H.U. and Landry, B., On the discounted penalty at ruin in a jump-diffusion and the perpetual put option, Insurance: Mathematics and Economics, 22(1998), 263-276.

同被引文献4

引证文献1

应用概率统计
2011年 第3期

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部