| 一类交错更新风险过程的罚金函数 |
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| 引用本文： | 兰德新,张春生. 一类交错更新风险过程的罚金函数[J]. 天津师范大学学报(自然科学版), 2006, 26(3): 45-49 |
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| 作者姓名： | 兰德新 张春生 |
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| 作者单位： | 1. 武夷学院数学系,福建,武夷山,353000
2. 南开大学,数学科学学院,天津,300071 |
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| 摘 要： | 考虑一类索赔依交错更新过程来到的风险过程，其索赔时间间隔是指数分布与Erlang（2）分布交错持续的随机序列，索赔额是非负独立同分布的随机变量序列．本文给出了罚金函数的拉普拉斯变换，并就指数索赔额分布的情况，推导出了破产概率表达式及其破产前余额与破产时亏损分布的拉普拉斯变换.
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| 关 键 词： | 罚金函数 拉普拉斯变换 交错更新过程 破产概率 破产前余额 破产时亏损 |
| 文章编号： | 1671-1114(2006)03-0045-05 |
| 修稿时间： | 2006-03-05 |
Penalty Function of a Kind of Alternate Renewal Risk Processes |
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| LAN De-xin,ZHANG Chun-sheng. Penalty Function of a Kind of Alternate Renewal Risk Processes[J]. Journal of Tianjin Normal University(Natural Science Edition), 2006, 26(3): 45-49 |
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| Authors: | LAN De-xin ZHANG Chun-sheng |
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| Abstract: | A kind of risk processes that have an alternate counting renew process is considered,which means that a claim time interval which has an exponential(or an Erlang(2)) distribution just follows another claim time interval which has an Erlang(2)(or exponential) distribution;the claim amounts are i.i.d.non-negative random variable sequence.In the case of exponential claim amounts,we propose the Laplace transform of the penalty function,an expression of ruin probability and the Laplace transform of the joint distribution of surplus before and deficit at ruin. |
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| Keywords: | penalty function Laplace transform alternate renewal process ruin probability surplus before ruin deficit at ruin |
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