| 引用本文： |
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方世祖,陈流红,郭梦丹,谢丁丁,赵明飞.离散时间的双险种风险模型研究[J].广西科学院学报,2015,31(1):54-58,68. [点击复制]
- FANG Shi-zu,CHEN Liu-hong,GUO Meng-dan,XIE Ding-ding,ZHAO Ming-fei.Study on the Double Type Risk Model of a Discrete-time[J].Journal of Guangxi Academy of Sciences,2015,31(1):54-58,68. [点击复制]
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| 摘要: |
| 在离散时间情况下,建立索赔过程都是复合二项过程的双险种风险模型并研究其破产问题,得到:罚金期望函数和破产概率满足的积分方程;有限时间内破产概率及破产时刻分布的递推公式;破产前一刻盈余的分布;破产时赤字的分布及破产前瞬时盈余与破产时赤字的联合分布. |
| 关键词: 风险模型 罚金期望函数 破产概率 破产时刻 |
| DOI： |
| 投稿时间：2014-08-10 |
| 基金项目:广西教育厅科研项目(201010LX004),广西大学大学生实验技能和科技创新能力训练基金项目(SYJN20131804)和广西大学中西部高校提升综合实力计划项目资助。 |
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| Study on the Double Type Risk Model of a Discrete-time |
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FANG Shi-zu, CHEN Liu-hong, GUO Meng-dan, XIE Ding-ding, ZHAO Ming-fei
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| (College of Mathematics and Information Science, Guangxi University, Nanning, Guangxi, 530004, China) |
| Abstract: |
| In this paper, a discret-time risk model with two independent classes of insurance business is proposed, when the arrival processes of the claims are all described by binomial processes. The integral equation with its expected penalty function and its ruin probability are derived. Recursive formulas are provided for the computation of the bankruptcy probability in finite time, the time distribution of bankruptcy, and the joint distribution of the surplus immediately before bankruptcy and the deficit during bankruptcy. |
| Key words: risk model expected penalty function ruin probability the time of bankruptcy |
