索赔具有时间相关性的复合二项风险模型  

On the Compound Binomial Risk Model with Time-correlated

作　　者：孙歆[1] 

机构地区：[1]毕节学院数学与计算机科学学院,贵州毕节551700

出　　处：《毕节学院学报（综合版）》2012年第8期51-58,共8页Journal of Bijie University

摘　　要：提出了一种索赔具有时间相关性的复合二项风险模型,即假设在任何一个时间区间内每一个主索赔都以一定概率引起一个副索赔。讨论了该模型的Gerber-Shiu折现罚金函数,并且得到了Gerber-Shiu折现罚金函数的渐近解和解析解。In this paper, a compound binomial risk model with time-correlated claims is proposed. It is assumed that every main claim will produce a by-claim with a fixed probability in any discret- e time units, and its by-claim occur concurrently. The Gerber-Shiu discounted penalty function for this model is discussed, and asymptotic estimation and analytical solution are obtained.

关 键 词：复合二项风险模型 时间相关 GERBER-SHIU折现罚金函数 主索赔 副索赔 

分 类 号：O211.67[理学—概率论与数理统计]