带两步保费率的复合Poisson风险模型的占位时  

On Occupation Times for Compound Poisson Risk Model with Two-Step Premium Rate

作　　者：张爱丽 刘章 ZHANG Aili;LIU Zhang(School of Statistics and M athematics,Nanjing A udit University,Nanjing,211815,China;School of Computer and Information Engineering,Jiangxi Agricultural University,Nanchang,330045,China)

机构地区：[1]南京审计大学统计与数学学院,南京211815 [2]江西农业大学计算机与信息工程学院,南昌330045

出　　处：《应用概率统计》2020年第3期261-276,共16页Chinese Journal of Applied Probability and Statistics

基　　金：The project was supported by the Science and Technology Planning Project of Jiangxi Province(Grant No.GJJ180201).

摘　　要：本文考虑了带两步保费率的经典复合Poisson风险模型.使用一种替代方法,找到了两个不相交时间间隔的联合占位时对应Laplace变换的显式表达式.其中,Laplace变换用Levy过程的尺度函数来表示.In this paper,we consider the classical compound Poisson risk model with two-step premium rate.Using an alternative approach,we find the explicit expressions for the Laplace transforms of joint occupation times over disjoint intervals for this model.The Laplace transforms are expressed in terms of scale functions of Levy processes.

关 键 词：复合POISSON风险模型 联合占位时 两步保费率 尺度函数 

分 类 号：O211.5[理学—概率论与数理统计] O211.6[理学—数学]