| 带干扰的双更新风险模型 |
| |
| 引用本文： | 刘家军,杨巧梅.带干扰的双更新风险模型[J].汕头大学学报(自然科学版),2005,20(4):23-27. |
| |
| 作者姓名： | 刘家军 杨巧梅 |
| |
| 作者单位： | 广东商学院数学与计算科学系,广东,广州,510320 |
| |
| 摘 要： | 把经典风险模型进行推广,把索赔到达过程加以推广为更新过程.在保单到达非均匀的前提下,设其到达服从更新过程,且设干扰项为布朗运动,得到一个新的风险模型;用马尔可夫骨架过程的理论和方法,求得有限时间盈余的瞬时分布,再在几种特殊情况下得到其表达式.
|
| 关 键 词： | 双更新过程 布朗运动 马尔可夫骨架过程 |
| 文章编号： | 1001-4217（2005）04-0023-05 |
| 收稿时间： | 2005-03-09 |
| 修稿时间： | 2005年3月9日 |
Double Renewal Risk Model Perturbed by Diffusion |
| |
| LIU Jia-jun,Yang Qiao-mei.Double Renewal Risk Model Perturbed by Diffusion[J].Journal of Shantou University(Natural Science Edition),2005,20(4):23-27. |
| |
| Authors: | LIU Jia-jun Yang Qiao-mei |
| |
| Institution: | Department of Mathematics, Guangdong University of Business Studies, Guangzhou 510320, Guangdong, China |
| |
| Abstract: | Based on the classical risk model which popularizes compensation arrival process into renewal process, and assists batch arrival as renewal process perturbed by Brown motion, a new risk model is reached. By applying the theory and method of Markov Skeleton Process, the instant distribution of limited time balance, and then the existent equation of probability of time are obtained. |
| |
| Keywords: | Brown motion double renewal process Markov Skeleton Process |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
