概率方法求Gerber-Shiu折现罚金函数  

The Gerber-Shiu Discounted Penalty Function by Probabilistic Methods

作　　者：肖菊霞[1] 史建红[1] 

机构地区：[1]山西师范大学数学与计算科学学院,山西临汾041000

出　　处：《重庆工商大学学报（自然科学版）》2015年第7期20-25,共6页Journal of Chongqing Technology and Business University:Natural Science Edition

基　　金：山西省自然科学基金项目资助(2013011002-1)

摘　　要：相位分布是定义为某个马氏跳过程吸收时间的分布,它在正半轴上形成了一类可以在普遍性与易处理之间的平衡点,任何正的分布都可以由相位分布无限接近;在带常利率的时间间隔为相位分布的更新风险模型下,用概率方法得出了相位分布的一些基本性质及Gerber-Shiu折现罚金函数的确切解.Phase-type distributions, defined as the distribution of absorption times of certain Markov jump processes, constitute a class of distribution on the positive real axis which seems to strike a balance between generality and tractability. Any positive distribution can be approximated arbitrarily by phase-type distributions. Under the condition that the inter-claim times of constant interest is phase-type distribution risk model, some of their basic properties and the precise solution of Gerber-Shiu discounted penalty function are obtained.

关 键 词：相位分布更新风险模型 GERBER-SHIU折现罚金函数 破产时刻 破产前瞬时盈余额 赤字 

分 类 号：O211.6[理学—概率论与数理统计]