| 批量索赔、保费到达均为更新过程的风险模型 |
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| 引用本文： | 刘家军,张宇山,刘再明.批量索赔、保费到达均为更新过程的风险模型[J].安庆师范学院学报(自然科学版),2004,10(3):60-63. |
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| 作者姓名： | 刘家军 张宇山 刘再明 |
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| 作者单位： | 广东商学院,数学部,广东,广州,510320;中南大学,数学学院,湖南,长沙,410075 |
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| 摘 要： | 在经典风险模型的基础上 ,把索赔到达过程 Nt加以推广为更新过程 ,且认为在保单到达非均匀的前提下 ,设其到达服从更新过程 ,得到一个新的风险模型 :Rt=u+c Mt-∑zti=1Xi(其中 Zt=∑Ntj=1Yj,以下同 ) ,运用马尔可夫骨架过程的理论和方法 ,求得有限时间 t盈余的瞬时分布φ( u,θ0 ,t,a) ,然后求得时刻 t的生存概率Ψ ( t,u,θ0 )。
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| 关 键 词： | 批量索赔 更新过程 马尔可夫骨架过程 |
| 文章编号： | 1007-4260(2004)03-0060-04 |
The Risk Model of Batch Claim and Premium Arrival as Renewal Process |
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| LIU Jia-jun,ZHANG Yu-shan,LIU Zai-ming.The Risk Model of Batch Claim and Premium Arrival as Renewal Process[J].Journal of Anqing Teachers College(Natural Science Edition),2004,10(3):60-63. |
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| Authors: | LIU Jia-jun ZHANG Yu-shan LIU Zai-ming |
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| Institution: | LIU Jia-jun~1,ZHANG Yu-shan~1,LIU Zai-ming~2 |
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| Abstract: | Based on the classical risk model which popularizes compensation arrival process N_1 into renewal process, this thesis holds that in the condition of the uneven guarantee slip, a new risk model is reached: R_t=u+cM_t-∑z_ti=1X_i(Z_t=∑N_tj=1Y_j). By application of the theory and method of Markov Skeleton Process, we can get instant distribution of limited time t balance φ(u,θ_0,t,a) and then existent probability of time t. |
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| Keywords: | batch claim renewal process Markov Skeleton Process |
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