玉林师范学院学报
玉林師範學院學報
옥림사범학원학보
Journal of Yulin Teachers College
2012年
5期
181-184
,共4页
风险模型%罚金折现期望函数%破产概率
風險模型%罰金摺現期望函數%破產概率
풍험모형%벌금절현기망함수%파산개솔
risk model%expected discounted penalty function%bankruptcy probability
在离散时间的情况下,建立保险费的收取过程及索赔过程均是二项过程并含有随机分红的风险模型,根据分红值限及初始值的大小不同关系,分别得到了该风险模型的罚金折现期望函数所满足的递推关系式,根据罚金折现期望函数的特点,对其取不同的表达式,可以得到不同的关系式.
在離散時間的情況下,建立保險費的收取過程及索賠過程均是二項過程併含有隨機分紅的風險模型,根據分紅值限及初始值的大小不同關繫,分彆得到瞭該風險模型的罰金摺現期望函數所滿足的遞推關繫式,根據罰金摺現期望函數的特點,對其取不同的錶達式,可以得到不同的關繫式.
재리산시간적정황하,건립보험비적수취과정급색배과정균시이항과정병함유수궤분홍적풍험모형,근거분홍치한급초시치적대소불동관계,분별득도료해풍험모형적벌금절현기망함수소만족적체추관계식,근거벌금절현기망함수적특점,대기취불동적표체식,가이득도불동적관계식.
Under the case of discrete time, the establishment of insurance premium for collection process and claim process are two processes with stochastic dividends in a risk model. Based on the relation between the limit dividend value and the initial value, the recurrence relations for this risk model’s expected discounted penalty function were respectively derived. According to the characteristics of expected discounted penalty function, different relational expressions were abstained from different formulas.
