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方世祖,张春梅,孙歆,赵培臣.广义复合马尔可夫二项模型的破产概率[J].广西科学,2008,15(3):269-273. [点击复制]
- FANG Shi-zu,ZHANG Chun-mei,SUN Xin,ZHAO Pei-chen.Ruin Probabilities in the Extended Compound Markov Binomial Model[J].Guangxi Sciences,2008,15(3):269-273. [点击复制]
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| 广义复合马尔可夫二项模型的破产概率 |
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方世祖1,2, 张春梅3, 孙歆2, 赵培臣2
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| (1.西安交通大学理学院, 陕西西安 710049;2.广西大学数学与信息科学学院, 广西南宁 530004;3.北京市大兴区第五中学, 北京 102600) |
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| 摘要: |
| 将复合马尔可夫二项模型推广为保费收取过程而得到广义复合马尔可夫二项模型并研究其破产概率.给出该模型破产概率的递推公式及其Lundberg型指数的上界. |
| 关键词: 复合二项模型 Markov二项 破产概率 Lundberg型指数 |
| DOI： |
| 投稿时间：2007-01-08修订日期：2008-04-25 |
| 基金项目:Project supported by SF of Guangxi University(X071085);the SF of Guangxi(0542044) |
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| Ruin Probabilities in the Extended Compound Markov Binomial Model |
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FANG Shi-zu1,2, ZHANG Chun-mei3, SUN Xin2, ZHAO Pei-chen2
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| (1.School of Science, Xi'an Jiaotong University, Xi'an, Shaanxi, 710049, China;2.School of Mathematics and Information Science, Guangxi University, Nanning, Guangxi, 530004, China;3.No.5 Middle School of Daxing in Beijing, Beijing, 102600, China) |
| Abstract: |
| The compound Markov binomial model which was first proposed by Cossette et al. (2003)is extended to the case where the premium income process, based on a binomial process, is no longer a linear function and its ruin probability is investigated.Recursive formulas are provided for the computation of the ruin probabilities.The Lundberg exponential bound is derived for the ruin probability. |
| Key words: compound binomial model Markov binomial ruin probability Lundberg exponential |
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