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Joint and supremum distributions in the compound binomial model with Markovian environment
  • 期刊名称：Applied Mathematics Journal Chinese University
  • 时间：0
  • 页码：265-279
  • 语言：英文
  • 分类：O211.62[理学—概率论与数理统计;理学—数学] TE373[石油与天然气工程—油气田开发工程]
  • 作者机构：[1]Department of Mathematics, Zhejiang University, Hangzhou 310027, China.
  • 相关基金：Supported by the National Natural Science Foundation of China （10671176, 10771192, 70871103）.
  • 相关项目：保险精算中有关相依风险的若干问题
作者： YU Yi-bin| ZHANG Yi|ZHANG Li-xin|
关键词： 马氏环境, 二项式, 复合型, 上确界, 模型, 递推公式, 联合分布, 群发功能, Compound binomial model, Markovian environment, joint distribution, mass function, recursive formula, supremum distribution.
中文摘要：

在这份报纸，我们在 Markovian 环境学习复合二项式的模型，它被 Cossette 建议，等。(2003 ) 。我们获得 T， X (T 1 ) 和 | X (T) 的联合分布的递归的公式|(即，毁灭，在毁灭前的剩余和在毁灭的赤字的时间) 由起来十字路口的集体功能的方法零个点由刘和赵给 2007 ) 。由使用一样的方法， supremum 分发的递归的公式被获得。一个例子被包括说明模型的结果。

英文摘要：

In this paper, we study the compound binomial model in Markovian environment, which is proposed by Cossette, et al. （2003）. We obtain the recursive formula of the joint distributions of T, X（T - 1） and ｜X（T）｜（i.e., the time of ruin, the surplus before ruin and the deficit at ruin） by the method of mass function of up-crossing zero points, as given by Liu and Zhao （2007）. By using the same method, the recursive formula of supremum distribution is obtained. An example is included to illustrate the results of the model.

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