保费随机复合二项模型的Gerber-shiu折现罚金函数

孙 歆; 方世祖; 段 誉

保费随机复合二项模型的Gerber-shiu折现罚金函数

引用本文：孙歆，方世祖，段誉.保费随机复合二项模型的Gerber-shiu折现罚金函数[J].经济数学,2010,27(4):73-80

摘要点击次数: 1560

全文下载次数: 319

作者	单位
孙歆，方世祖，段誉	(1. 毕节学院数学系，贵州毕节551700；2. 广西大学数学与信息科学学院，广西南宁530004)

中文摘要:考虑保费随机收取的复合二项模型.得到了其Gerber-shiu折现罚金函数满足的递推公式,瑕疵更新方程及其渐近解,并且通过构造一个相关的复合几何分布函数,得到了这个更新方程的解析解.相应的也得到了一些相关精算量的渐近表示和分布函数,如破产前瞬时盈余分布的渐近解,导致破产的索赔额的分布函数.

中文关键词:复合二项模型 Gerber-shiu折现罚金函数瑕疵更新方程复合几何分布

The Gerber-Shiu Discounted Penalty Function in the Compound Binomial Risk Model with Random Income

Abstract:Considering a compound binomial model with random income,a recursive formula was derived for the Gerber-Shiu discounted penalty function,and the asymptotic estimate of the Gerber-Shiu discounted penalty function was discussed. Furthermore, an explicit formula for the Gerber-Shiu penalty function was given in terms of a compound geometric distribution function, through which many related quantities were analyzed, e.g., the asymptotic estimate of the surplus before ruin, and the distribution of the claim causing ruin.

keywords:compound binomial model Gerber-Shiu discounted penalty function defective renewal equation compound geometric distribution

查看全文 查看/发表评论 下载pdf阅读器