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具有常红利边界和延迟索赔的一类离散更新风险模型
  • ISSN号：0583-1431
  • 期刊名称：数学学报
  • 时间：0
  • 页码：973-982
  • 分类：O211.67[理学—概率论与数理统计;理学—数学]
  • 作者机构：[1]阜阳师范学院数学与计算科学学院,阜阳236037, [2]中南大学数学科学与计算技术学院,长沙410075, [3]中南大学数学科学与计算技术学院长沙410075
  • 相关基金：国家自然科学基金项目（10971230）
  • 相关项目：马尔可夫到达排队系统的建模分析及算法研究
作者： 高珊|刘再明|
关键词： 离散更新风险模型, 主索赔和副索赔, 红利, discrete renewal risk model, main claim and by-claim, dividend
中文摘要：

考虑了具有常红利边界和延迟索赔的一类离散更新风险模型，其中间隔索赔到达时间服从离散phase-type分布．定义了两种类型的索赔：主索赔和副索赔，主索赔以一定的概率引起副索赔且副索赔会以一定的概率被延迟到下一时段．通过引入辅助风险模型，推导了破产前红利折现期望满足的差分方程及其解．最后给出了当索赔额服从几何分布时的有关数值例子．

英文摘要：

We consider a discrete renewal risk model with constant dividend barrierand delayed claims, in which the inter-claim arrival time follows discrete phase-typedistribution. Two types of individual claims, main claims and by-claims, are defined, where every by-claim is induced by the main claim with a certain probability and may be delayed for one time period with a certain probability. By introducing a supplementary risk model, a system of difference equations with certain boundary conditions for the expected present value of the dividend payments due until ruin is derived and solved. Numerical results are given for a special claim-size distribution：the geometric distribution.

同期刊论文项目
马尔可夫到达排队系统的建模分析及算法研究
期刊论文 61
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期刊信息
  • 《数学学报》
  • 北大核心期刊（2011版）
  • 主管单位:中国科学院
  • 主办单位:中国科学院数学与系统科学研究院数学研究院
  • 主编：李炳仁
  • 地址：北京市海淀区中关村东路55号
  • 邮编：100080
  • 邮箱：Actamath@amss.ac.cn
  • 电话：010-62551910
  • 国际标准刊号：ISSN：0583-1431
  • 国内统一刊号：ISSN：11-2038/O1
  • 邮发代号:2-502
  • 获奖情况:
  • 1996年中科院优秀科技期刊二等奖,1997年全国优秀科技期刊二等奖,2000年中科院优秀科技期刊二等奖
  • 国内外数据库收录:
  • 美国数学评论（网络版）,德国数学文摘,荷兰文摘与引文数据库,日本日本科学技术振兴机构数据库,中国中国科技核心期刊,中国北大核心期刊（2004版）,中国北大核心期刊（2008版）,中国北大核心期刊（2011版）,中国北大核心期刊（2014版）,中国北大核心期刊（2000版）
  • 被引量:9981