离散时间延迟索赔风险模型的分红问题  

Dividend Problems in a Discrete-time Risk Model with Delayed Claims

作　　者：宋昌昊 SONG Chang-hao(School of Business,The University of Sydney,NSW 2006,Australia)

机构地区：[1]悉尼大学商学院

出　　处：《合肥学院学报（综合版）》2019年第5期22-27,共6页Journal of Hefei University：Comprehensive ED

摘　　要：通过考虑一类离散时间下风险模型的分红问题,引入交叉延迟索赔、随机收入、门槛分红及索赔间隔时间服从Phase-type分布的假定条件,使用辅助风险过程并构造全概率公式,得到破产前期望折现分红总量模型更具一般性和普适性的矩阵表达式。Considering the dividend problem of a discrete-time risk model,containing the assumption of random income,cross-delayed claims,threshold dividend and discrete Phase-type claim interval distribution.By introducing auxiliary risk processes and working out total probability formulas,the matrix form of expected present value of dividend payments due until ruin which is more general to be applied is derived.

关 键 词：主索赔 次索赔 交叉风险模型 Phase-type分布 门槛分红 

分 类 号：O211.9[理学—概率论与数理统计]