天津师范大学学报(自然科学版)2008,Vol.28Issue(1):43-47,5.
在扰动的Sparre Andersen模型中破产前发生的理赔次数
On the number of claims occurring up to ruin in the perturbed Sparre Andersen model by diffusion
摘要
Abstract
The number of claims occurring up to ruin is studied in the perturbed Sparre Andersen surplus model by diffusion in which the inter-occurrence times between successive claims obey Erlang(2)-distribute. l(u;n+1) is the probability function of n+1 claims occurring up to ruin and h(u;n) is the probability function if ruin is caused by oscillation between the nth and (n+1)th claim. The recursive formulaes of (l)(s;n+1) and (h)(s;n) which are the Laplace transforms of l(u;n+1) and h(u;n) respectively are given. l(u;n+1) and h(u;n) can be worked out by using Mathematics or other mathematical software.关键词
破产前理赔次数/扰动的Sparre Andersen盈余过程/Erlang(2)分布/破产时/破产概率/布朗运动/拉普拉斯变换/递推Key words
claim number up to ruin/perturbed Sparre Andersen surplus model/Erlang(2)-distributed/time to ruin/ruin probability/Brownian motion/Laplace transform/recursive method分类
数理科学引用本文复制引用
张春生,左松茂,高庆武..在扰动的Sparre Andersen模型中破产前发生的理赔次数[J].天津师范大学学报(自然科学版),2008,28(1):43-47,5.基金项目
Supported by NNSF of China(10571132) (10571132)