| 变保费率风险模型的折现罚金函数 |
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| 引用本文： | 王慧丽,王文波.变保费率风险模型的折现罚金函数[J].科学技术与工程,2006,6(21):3391-3393. |
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| 作者姓名： | 王慧丽 王文波 |
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| 作者单位： | 1. 太原科技大学应用数学系,太原 030024;西北工业大学应用数学系,西安 710072
2. 西北工业大学应用数学系,西安 710072 |
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| 摘 要： | 研究了当保费率随理赔强度的变化而变化时,Cox风险模型的折现罚金函数,利用后向差分法得到了折现罚金函数以及破产概率所满足的积分方程.最后给出当理赔额服从指数分布,理赔强度为两状态的马氏过程时破产概率的拉普拉斯变换.
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| 关 键 词： | Cox风险模型 变保费率 折现罚金函数 |
| 文章编号： | 1671-1819（2006）21-3391-03 |
| 收稿时间： | 2006-06-28 |
| 修稿时间： | 2006年6月28日 |
The Expected Discounted Penalty Function of Cox Process with Variable Premium |
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| WANG Huili,WANG Wenbo.The Expected Discounted Penalty Function of Cox Process with Variable Premium[J].Science Technology and Engineering,2006,6(21):3391-3393. |
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| Authors: | WANG Huili WANG Wenbo |
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| Abstract: | The expected discounted penalty function is investigated under the influence of a premium rate which varies according to the intensity of claims, and the occurrence of claims is described by a Cox process in the considered risk model. By a backward differential argument, the integral equation satisfied by the expected discounted penalty function and ruin probability is derived. Finally the Laplace transform of ruin probability is gotten when the claim size is exponent distribution and the claim intensity is two states. |
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| Keywords: | Cox risk model variable premium the expected discounted penalty function |
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