复合马尔可夫二项模型的Gerber-Shiu折现罚金函数(英文)  

The Gerber-Shiu Discounted Penalty Function in the Compound Markov Binomial Model

作　　者：方世祖[1,2] 张春梅[2] 赵培臣[3] 孙歆[2] 

机构地区：[1]西安交通大学理学院,西安710049 [2]广西大学数学与信息科学学院,南宁530004 [3]菏泽学院数学系,菏泽274015

出　　处：《应用概率统计》2011年第5期460-472,共13页Chinese Journal of Applied Probability and Statistics

基　　金：supported by SF of Guangxi University(X071085)

摘　　要：本文研究复合马尔可夫二项模型的Gerber-Shiu折现罚金函数,得到了有条件和无条件的Gerber-Shiu折现罚金函数所满足的瑕疵更新方程.然后给出这些折现罚金函数的渐近表达式.In this paper, we consider the compound Markov binomial model proposed by Cossette et al. （2003）. The defective renewal equations for the conditional and unconditional Gerber-Shiu dis- counted penalty function are obtained. The asymptotic expressions for the Gerber-Shiu discounted penalty function are then provided.

关 键 词：复合马尔可夫二项模型 相关性 GERBER-SHIU折现罚金函数 渐近表达式 破产概率 

分 类 号：O211.67[理学—概率论与数理统计]