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具有随机保费收入的复合马尔可夫二项模型

On the compound Markov binomial model with random income
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摘要 研究具有随机保费收入的复合马尔可夫二项模型,利用概率母函数分别得到了有条件和无条件的情况下Gerber-Shiu折现罚金函数的瑕疵更新方程. Investigated the compound Markov binomial generating function, the defective renewal equations of penalty function was obtained. model with random income. By the conditional and unconditional using of the probability Gerber-Shiu discounted.
作者 刁玉 闫美
机构地区 辽宁师范大学数学学院
出处 《高师理科学刊》 2015年第4期23-26,共4页 Journal of Science of Teachers＇College and University
关键词 复合马尔可夫二项模型 GERBER-SHIU折现罚金函数 概率母函数 compound Markov binomial model Gerber-Shiu discounted penalty function probability generatingfunction
分类号 O211.6 [理学—概率论与数理统计]
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  • 1Bao, Z.H., A note on the compound binomial model with randomized dividend strategy, Applied Mathematics and Computation, 194(2007), 276-286.
  • 2Cai, J. and Dickson, D.C.M., On the expected discounted penalty function at ruin of a surplus process with interest, Insurance: Mathematics and Economics, 30(2002), 389-404.
  • 3Cheng, S.X., Gerber, H.U. and Shiu, E.S.W., Discounted probabilities and ruin theory in the com- pound binomial model, Insurance: Mathematics and Economics, 26(2000), 239-250.
  • 4Cheng, S.X. and Zhu, R.D., The asymptotic formulas and Lundberg upper bound in fully discrete risk model, Applied Mathematics: A Journal of Chinese Universities (Series A), 16(3)(2001), 348-358 (in Chinese).
  • 5Cossette, H., Landriault, D. and Marceau, E., Ruin probabilities in the compound Markov binomial model, Scandinavian Actuarial Journal, 4(2003), 301-323.
  • 6Cossette, H., Landriault, D. and Marceau, E., Exact expressions and upper bound for ruin probabil- ities in the compound Markov binomial model, Insurance: Mathematics and Economics, 34(2004), 449-466.
  • 7DeVylder, F. and Marceau, E., Classical numerical ruin probabilities, Scandination Actuarial Journal, 2(1996), 109-123.
  • 8Dickson, D.C.M., Some comments on the compound binomial" model, Astin Bulletin, 24(1994), 33-45.
  • 9Gerber, H.U., Mathematical fun with the compound binomial process, Astin Bulletin, 18(1988), 161-168.
  • 10Karlin, S. and Taylor, H.M., A First Course in Stochastic Processes, Academic press, New York, 1975.

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高师理科学刊
2015年 第4期

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