| 特殊索赔下离散时间延迟更新过程的期望贴现罚金函数 |
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| 引用本文： | 包振华,付永毅,刘志鹏. 特殊索赔下离散时间延迟更新过程的期望贴现罚金函数[J]. 辽宁师范大学学报(自然科学版), 2013, 0(2): 150-154 |
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| 作者姓名： | 包振华 付永毅 刘志鹏 |
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| 作者单位： | 辽宁师范大学数学学院,辽宁大连116029 |
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| 基金项目： | 国家自然科学基金项目（11001114）;辽宁省高等学校优秀人才计划项目（LJQ2011113） |
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| 摘 要： | 离散时间更新风险过程下所获得的结果一般都具有递归的属性而易于程序化,因此不但具有独立的研究意义,还可以作为连续时间更新过程相关结果的近似和上下界估计.研究具有一般索赔间隔时间的离散时间延迟更新过程,在索赔额服从几何分布时,利用Lundberg基本方程的根及期望贴现罚金函数所满足的更新方程,获得了期望贴现罚金函数的显示表达.
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| 关 键 词： | 离散时间延迟更新过程 Gerber-Shiu期望贴现罚金函数 赤字分布 |
On the expected discounted penalty function in the discrete time delayed renewal process with special claims |
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| BAO Zhenhua,FU Yongyi,LIU Zhipeng. On the expected discounted penalty function in the discrete time delayed renewal process with special claims[J]. Journal of Liaoning Normal University(Natural Science Edition), 2013, 0(2): 150-154 |
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| Authors: | BAO Zhenhua FU Yongyi LIU Zhipeng |
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| Affiliation: | (School of Mathematics, Liaoning Normal University, Dalian l16029,Chlna) |
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| Abstract: | Since formulas for discrete time models are of a recursive nature and readily programmable in practice, discrete time risk models are not only of independent interest but the results for them can also be used as approximations or bounds for the corresponding results in continuous time. In the present paper we investigate discrete time delayed renewal process with general inter-claim time. When the claim amounts follow geometrical distributions, by using the root of Lundberg equation and defective renewal equation satisfied by the discounted penalty function, we obtain some explicit |
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| Keywords: | Key words：discrete time delayed renewal risk process Gerber-Shiu expected discounted penalty func-tion deficit distribution |
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