一类离散时间相依风险模型的期望贴现惩罚函数
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引用本文:郑 贺.一类离散时间相依风险模型的期望贴现惩罚函数[J].经济数学,2017,(3):104-110
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作者单位
郑 贺 (辽宁师范大学 数学学院辽宁 大连 116029) 
中文摘要:研究了一类具有相依结构的离散时间更新风险过程,通过索赔额与随机阈值的比较,风险过程在两个级别中相互转换。得到了期望贴现惩罚函数的概率生成函数满足的分析表达式以及零初值时惩罚函数的解析表达式。最后,得到了期望贴现惩罚函数所满足的瑕疵更新方程。
中文关键词:数理统计学  离散时间相依模型  期望贴现惩罚函数  Lundberg基本方程
 
Expected discounted penalty function for a class of discrete time dependent risk model
Abstract:This paper discusses a class of discrete time renewal risk processes with dependent structure.The risk process is transformed at two levels by comparing the claim value with the stochastic threshold.The analytic expression of the probability generating function of the expected discounted penalty function is obtained and the analytic expression of penalty function at zero initial value is obtained.Finally,the defective renewal equation satisfied by the expected discounted penalty function is obtained.
keywords:mathematical statistics  discrete time dependent risk model  expected discounted penalty function  Lundberg fundamental equation
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