广义复合马尔可夫二项模型的破产概率
엄의복합마이가부이항모형적파산개솔
Ruin Probabilities in the Extended Compound Markov Binomial Model
  • 万方数据
    广西科学 엄서과학
    GUANGXI SCIENCES
    2008年 3期 269-273 ,共5页

    方世祖%张春梅%孙歆%赵培臣

    방세조%장춘매%손흠%조배신

    复合二项模型%Markov二项%破产概率%Lundberg型指数 複閤二項模型%Markov二項%破產概率%Lundberg型指數
    복합이항모형%Markov이항%파산개솔%Lundberg형지수
    compound binomial model%Markov binomial%ruin probability%Lundberg exponential
    将复合马尔可夫二项模型推广为保费收取过程而得到广义复合马尔可夫二项模型并研究其破产概率.给出该模型破产概率的递推公式及其Lundberg型指数的上界.
    장복합마이가부이항모형추엄위보비수취과정이득도엄의복합마이가부이항모형병연구기파산개솔.급출해모형파산개솔적체추공식급기Lundberg형지수적상계.
    The compound Markov binomial model which was first proposed by Cossette et al.(2003) is extended to the case where the premium income process, based on a binomial process,is no longer a linear function and its ruin probability is investigated.Recursive formulas are provided for the computation of the ruin probabilities. The Lundberg exponential bound is derived for the ruin probability.
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