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一类具有随机保费风险模型的破产问题
  • ISSN号：0254-3079
  • 期刊名称：应用数学学报
  • 时间：0
  • 页码：683-695
  • 分类：O212.67[理学—概率论与数理统计;理学—数学]
  • 作者机构：[1]中南大学数学科学学院,长沙410075, [2]曲阜师范大学数学科学学院,曲阜273165
  • 相关基金：国家自然科学基金（10971230）; 山东省自然科学基金（ZR2009AL015 ZR2010AQ015）; 曲阜师范大学自然科学基金（XJ200912）资助项目
  • 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： 董华|刘再明|赵翔华|
关键词： 随机保费, 罚金折现期望函数, S_d分布族, random income, the expected discounted penalty function, the class S_d
中文摘要：

本文考虑了一个保费收入过程为复合Poisson过程,且索赔时间间隔分布为广义Erlang（n）分布的风险模型,给出了其罚金折现期望函数所满足的瑕疵更新方程以及渐近表达式和精确表达式.

英文摘要：

Considering a risk model where the premiums follow a compound Poisson process and the interclaim times follow a generalized Erlang（n） distribution.We derive a defective renewal equation for the expected discounted penalty function.The asymptotic and explicit results for the expected discounted penalty function are also discussed.

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
  • 《应用数学学报》
  • 中国科技核心期刊
  • 主管单位:中国科学院
  • 主办单位:中国数学会 中国科学院数学与系统科学研究院
  • 主编：丁夏畦
  • 地址：北京市海淀区中关村东路55号
  • 邮编：100190
  • 邮箱：
  • 电话：
  • 国际标准刊号：ISSN：0254-3079
  • 国内统一刊号：ISSN：11-2040/O1
  • 邮发代号:2-822
  • 获奖情况:
  • 1996、2000年获“中科院优秀科技期刊”三等奖,1997年获“第二届全国优秀科技期刊”三等奖,2001年入选“双效期刊”（中国期刊方阵）
  • 国内外数据库收录:
  • 俄罗斯文摘杂志,美国数学评论（网络版）,德国数学文摘,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:6864