具有常数利率的延迟更新风险模型
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引用本文:欧 辉, 周子雅.具有常数利率的延迟更新风险模型[J].经济数学,2019,(4):1-7
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作者单位
欧 辉, 周子雅 (湖南师范大学 数学与统计学院湖南 长沙 410081) 
中文摘要:考虑常数利率情形下的延迟更新风险过程.得到了该延迟更新风险模型下的Gerber-Shiu期望折现罚金函数的表达式,并得到了常数利率下的一种特殊的延迟更新风险模型的破产概率的显示表达式.
中文关键词:延迟更新风险模型  常数利率  破产概率  Gerber-Shiu 期望折罚函数
 
The Delayed Renewal Risk Model with Constant Interest
Abstract:We consider a delayed renewal risk model with constant interest. The main result is an expression of the Gerber-Shiu discounted penalty function in the delayed renewal risk model with constant interest in terms of the corresponding Gerber-Shiu function in the non-delayed renewal risk model with constant interest. Subsequently, we present the exact expressions for the ruin probability in a special case of the delayed renewal risk processes with constant interest.
keywords:delayed renewal risk model  constant interest  ruin probability  Gerber-Shiu expected discounted penalty function
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