索赔延迟发生与索赔额相关的风险模型生存概率的研究（英文）  

Non-ruin probability in a delayed claim risk model with dependence between claim occurrences and claim sizes

作　　者：何永平[1] 谢杰华[1] 邹娓[2] 邓方吕 俞勇[1] 施明[2] 

机构地区：[1]南昌工程学院经济贸易学院,江西南昌330099 [2]南昌工程学院理学院,江西南昌330099

出　　处：《南昌工程学院学报》2015年第1期47-55,63,共10页Journal of Nanchang Institute of Technology

基　　金：Supported by Natural Science Foundation of Jiangxi Province(No.20132BAB211010;No.20142BAB211015);Innovation Foundation of Jiangxi Provincial Department of Education,Research Training Program of Nanchang Institute of Technology;"Challenge Cup" Academic Science and Technology Work Competition of Nanchang Institute of Technology~~

摘　　要：建立了一类推广的延迟索赔风险模型,模型中索赔延迟发生与否取决于之前的索赔额大小.通过所建立的微积分方程系统,得出了该风险模型生存概率Laplace变换的表达式,并计算出了生存概率所满足的瑕疵更新方程.在索赔额为Kn-分布的情形下,得到了生存概率的精确表达式.In this paper,we consider a generalization of the delayed claims risk model to a dependent setting,where the occurrences of delayed claims depend on the previous claim sizes. Both of the non-ruin probabilities with zero initial surplus and the Laplace transforms of the non-ruin probabilities are obtained from an integro-differential equations system. Then,using the Laplace transform,we prove that the non-ruin probability satisfies a defective renewal equation. Explicit formulas of non-ruin probabilities are derived when both claim size distributions belong to the Kn-family,n ∈ N＋.

关 键 词：复合POISSON风险模型 相依索赔 生存概率 LAPLACE变换 Kn-分布 

分 类 号：O211[理学—概率论与数理统计]