关于带常数利率与盈余相依型loss-carry-forward税收系统的Cramr-Lundberg风险模型(英文)  

ON THE CRAMR-LUNDBERG RISK MODEL WITH A CONSTANT FORCE OF INTEREST AND SURPLUS-DEPENDENT LOSS-CARRY-FORWARD TAX STRUCTURE

作　　者：王文元[1] 张爱丽[1] 王琴艳[2] 胡亦钧[1] 

机构地区：[1]武汉大学数学与统计学院,湖北武汉430072 [2]江西师范大学数学与信息科学学院,江西南昌330022

出　　处：《数学杂志》2012年第3期447-454,共8页Journal of Mathematics

基　　金：Supported in part by the National Natural Science Foundation of China(10971157);the Fundamental Research Funds for the Central Universities of China(201274360)

摘　　要：本文研究了带常数利率和盈余相依型loss-carry-forward税收系统的Cramr-Lundberg风险模型.利用无穷小分析方法及该过程具有的的强马氏性,得出了保险公司从开始运营到破产期间税收折现总额的数学期望表达式.作为例子,本文给出了指数分布索赔假定下该税收折现函数的具体表达式.In this paper we consider the Cram＇er-Lundberg risk model including a constant force of interest and surplus-dependent loss-carry-forward tax structure.We derive a formula for the expected cumulated discounted tax payments until ruin.For exponentially distributed claim sizes,explicit expression for the expected cumulated discounted tax payments until ruin is also given.

关 键 词：Cramr-Lundberg风险模型 税收折现函数 破产 

分 类 号：O211.6[理学—概率论与数理统计]