一类索赔时间间隔服从混合指数分布的更新风险过程  

A CLASS OF RENEWAL RISK PROCESS IN WHICH THE CLAIM INTERVAL IS UNDER THE MIXED EXPONENTIAL DISTRIBUTION

作　　者：殷利平[1] 王乃和[2] 吕玉华[3] 

机构地区：[1]东南大学自动化学院,南京210096 [2]南京特殊教育职业技术学院,南京210000 [3]曲阜师范大学数学学院,曲阜273165

出　　处：《经济数学》2008年第2期118-125,共8页Journal of Quantitative Economics

基　　金：国家自然科学基金资助项目(No.19801020)

摘　　要：本文研究了一类特殊的更新风险过程,其索赔时间间隔服从混合指数分布.首先,建立保险公司在时刻t的资产盈余模型,然后在该模型的基础上,根据Gerber的积分微分方程法和Laplace变换计算该公司的生存概率和赤字分布,最后分析盈余过程能顺利达到某一水平而不发生破产的概率.In this paper, we investigate a novel class of renewal risk process in which the claim interval is under the mixed exponential disterbution. Firstly, the surplus model is establihsed for time t. Subsequently, based on this model, the suvival probability and the deficit distribution are formualted according to the approach proposed by Gerber. Finally, the probability that the surplus process rises up to a given level without accident is discussed.

关 键 词：混合指数过程 生存概率 赤字分布 边界问题. 

分 类 号：O211.6[理学—概率论与数理统计]