应用概率统计
應用概率統計
응용개솔통계
CHINESE JOURNAL OF APPLIED PROBABILITY AND STATISTICS
2011年
5期
460-472
,共13页
方世祖%张春梅%赵培臣%孙歆
方世祖%張春梅%趙培臣%孫歆
방세조%장춘매%조배신%손흠
复合马尔可夫二项模型%相关性%Gerber-Shiu折现罚金函数%渐近表达式%破产概率
複閤馬爾可伕二項模型%相關性%Gerber-Shiu摺現罰金函數%漸近錶達式%破產概率
복합마이가부이항모형%상관성%Gerber-Shiu절현벌금함수%점근표체식%파산개솔
Compound Markov binomial model%dependence,%Gerber-Shiu discounted penalty function%asymptotic expression%ruin probability
本文研究复合马尔可夫二项模型的Gerber-Shiu折现罚金函数,得到了有条件和无条件的Gerber-Shiu折现罚金函数所满足的瑕疵更新方程.然后给出这些折现罚金函数的渐近表达式.
本文研究複閤馬爾可伕二項模型的Gerber-Shiu摺現罰金函數,得到瞭有條件和無條件的Gerber-Shiu摺現罰金函數所滿足的瑕疵更新方程.然後給齣這些摺現罰金函數的漸近錶達式.
본문연구복합마이가부이항모형적Gerber-Shiu절현벌금함수,득도료유조건화무조건적Gerber-Shiu절현벌금함수소만족적하자경신방정.연후급출저사절현벌금함수적점근표체식.
In this paper,we consider the compound Markov binomial model proposed by Cossette et al.(2003).The defective renewal equations for the conditional and unconditional Gerber-Shiu discounted penalty function are obtained.The asymptotic expressions for the Gerber-Shiu discounted penalty function are then provided.
