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| 一类索赔时间相依的离散时间的二元风险模型的破产概率 | |
| 引用本文： | 赵晓芹,刘再明,王国宝.一类索赔时间相依的离散时间的二元风险模型的破产概率[J].系统工程,2006,24(5):105-108. |
| 作者姓名： | 赵晓芹 刘再明 王国宝 |
| 作者单位： | 1. 长沙理工大学,数学与计算科学学院,湖南,长沙,410076;中南大学,数学科学与计算技术学院,湖南,长沙,410075 2. 中南大学,数学科学与计算技术学院,湖南,长沙,410075 3. 湖南水利水电职业技术学院,湖南,长沙,410131 |
| 基金项目： | 国家高技术研究发展计划(863计划) |
| 摘 要： | 研究一类索赔时间相依的离散时间的二元风险模型，模型中假设每次主索赔可能引起一次副索赔，而每次副索赔有可能推迟发生。通过引入辅助模型得到有限时间生存概率的递推公式，并在某些特殊情形下得到有限时间生存概率和最终破产概率的明确表达式。 |
| 关 键 词： | 风险模型 破产概率 母函数 相依 离散 |
| 文章编号： | 1001-4098（2006）05-0105-04 |
| 收稿时间： | 2005-07-08 |
| 修稿时间： | 2005-07-082006-03-22 |
Ruin Probability in a Discrete-time Risk Model With Time-correlated Claims |
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| Zhao Xiao-qin,Liu Zai-ming,Wang Guo-bao.Ruin Probability in a Discrete-time Risk Model With Time-correlated Claims[J].Systems Engineering,2006,24(5):105-108. | |
| Authors: | Zhao Xiao-qin Liu Zai-ming Wang Guo-bao |
| Institution: | 1. College of Mathematics and Computing Science, Changsha University of Science and Technology,Changsha 410076, China; 2. College of Mathematical Science and Computing Technology, Central University, Changsha 410075 ,China; 3. Hunan Engineering and Technical College of Water Resources and Hydroelectric Power,Changsha 410131 ,China |
| Abstract: | In this paper we consider a discrete-time risk model with time-correlated claims. It is assumed that every main claim may produce a by-claim and the occurrence of the by-claim may be delayed. Recursive formulas for the finite time survival probabilities are obtained and explicit expressions for the finite time survival probabilities and ultimate ruin probabilities are given in some special cases. |
| Keywords: | Risk Model Ruin Probability Generating Function Time-correlated Claim Discrete-time |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |