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一类带延迟风险模型的破产概率的递推计算
  • ISSN号：0465-7942
  • 期刊名称：《南开大学学报：自然科学版》
  • 时间：0
  • 分类：O211.9[理学—概率论与数理统计;理学—数学] F840[经济管理—保险]
  • 作者机构：[1]南平师范高等专科学校数学系,福建南平353000, [2]南开大学数学科学学院,天津300071
  • 相关基金：国家自然科学基金（10571092）
作者： 兰德新[1], 郭军义[2]
关键词： 递推公式, 破产概率, 索赔延迟, recursive formulas, ruin probability, delayed claim
中文摘要：

考虑了一类带延迟的风险模型的破产概率问题．索赔记数过程为泊松过程，在泊松过程的每个跳跃点都有两类风险发生，其中一类的索赔会延迟．对该类风险模型，利用拉普拉斯变换和所满足的微分方程，给出了破产概率的递推计算公式，从而解决了最终破产概率的近似求法．

英文摘要：

A risk model in which each main claim induces a delayed claim called by-claim is considered. The time of delay for the occurrence of a by-claim is assumed to be exponentially distributed. Recursive formulas are developed for approximating the ultimate ruin probability.

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期刊信息
  • 《南开大学学报：自然科学版》
  • 中国科技核心期刊
  • 主管单位:教育部
  • 主办单位:南开大学
  • 主编：田建国
  • 地址：天津南开区卫津路94号
  • 邮编：300071
  • 邮箱：
  • 电话：022-23501681
  • 国际标准刊号：ISSN：0465-7942
  • 国内统一刊号：ISSN：12-1105/N
  • 邮发代号:6-174
  • 获奖情况:
  • 中国期刊方阵“双效”期刊
  • 国内外数据库收录:
  • 俄罗斯文摘杂志,美国化学文摘（网络版）,德国数学文摘,英国动物学记录,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:4822