平衡更新风险过程破产时刻的矩(英文)  

MOMENTS OF THE TIME TO RUIN IN THE STATIONARY RENEWAL RISK PROCESS

作　　者：徐怀[1] 

机构地区：[1]安徽大学数学科学学院,安徽合肥230039

出　　处：《数学杂志》2013年第2期213-220,共8页Journal of Mathematics

基　　金：Supported by Tianyuan National Natural Science Foundation of China(11226207)

摘　　要：本文研究了平衡更新风险过程中破产时刻的一阶矩和二阶矩问题.以首次索赔发生的时间和大小为分隔条件,应用全概率公式,得到了平衡更新风险过程中破产时刻一阶矩和二阶矩的表达式,最后通过一个数值例子加以说明.In this paper, we consider moments of the time to ruin in the stationary renewal risk process. Under assumptions on the time and the amount of the first claim, we obtain an explicit expressions for the first and the second order moments of the time to ruin in the stationary renewal risk process by the law of total probability. Finally, we give a numerical example to illustrate the application of the results.

关 键 词：破产时刻 平衡更新风险过程 普通更新风险过程 拉普拉斯变换 

分 类 号：O211.6[理学—概率论与数理统计]