| 一类带延迟风险模型的破产概率的递推计算 |
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| 引用本文： | 兰德新,郭军义.一类带延迟风险模型的破产概率的递推计算[J].南开大学学报,2006,39(4):36-41. |
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| 作者姓名： | 兰德新 郭军义 |
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| 作者单位： | 南平师范高等专科学校数学系 福建南平353000(兰德新)，南开大学数学科学学院 天津300071(郭军义) |
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| 摘 要： | 考虑了一类带延迟的风险模型的破产概率问题.索赔记数过程为泊松过程,在泊松过程的每个跳跃点都有两类风险发生,其中一类的索赔会延迟.对该类风险模型,利用拉普拉斯变换和所满足的微分方程,给出了破产概率的递推计算公式,从而解决了最终破产概率的近似求法.
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| 关 键 词： | 递推公式 破产概率 索赔延迟 |
| 文章编号： | 0465-7942(2006)04-0036-06 |
| 收稿时间： | 09 15 2004 12:00AM |
| 修稿时间： | 2004年9月15日 |
A Risk Model with Delayed By-claims |
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| Lan Dexin,Guo Junyi.A Risk Model with Delayed By-claims[J].Acta Scientiarum Naturalium University Nankaiensis,2006,39(4):36-41. |
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| Authors: | Lan Dexin Guo Junyi |
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| Institution: | 1. Department of Mathematics, Nanping Teachers College, Nanping 353000, China; 2. School of Mathematical Sciences, Nankai University, Tianjin 300071, China |
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| Abstract: | A risk model in which each main claim induces a delayed claim called by-claim is considered.The time of delay for the occurrence of a by-claim is assumed to be exponentially distributed.Recursive formulas are developed for approximating the ultimate ruin probability. |
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| Keywords: | recursive formulas ruin probability delayed claim |
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