江五元. 具有随机收入的两类索赔干扰风险模型的破产前最大盈余分布[J]. 应用概率统计, 2019, 35(3): 263-274. DOI: 10.3969/j.issn.1001-4268.2019.03.004
引用本文: 江五元. 具有随机收入的两类索赔干扰风险模型的破产前最大盈余分布[J]. 应用概率统计, 2019, 35(3): 263-274. DOI: 10.3969/j.issn.1001-4268.2019.03.004
shu
JIANG Wuyuan. The Distribution of the Maximum Surplus before Ruin for Two Classes of Perturbed Risk Model with Stochastic Income[J]. Chinese Journal of Applied Probability and Statistics, 2019, 35(3): 263-274. DOI: 10.3969/j.issn.1001-4268.2019.03.004
Citation: JIANG Wuyuan. The Distribution of the Maximum Surplus before Ruin for Two Classes of Perturbed Risk Model with Stochastic Income[J]. Chinese Journal of Applied Probability and Statistics, 2019, 35(3): 263-274. DOI: 10.3969/j.issn.1001-4268.2019.03.004
shu

具有随机收入的两类索赔干扰风险模型的破产前最大盈余分布

The Distribution of the Maximum Surplus before Ruin for Two Classes of Perturbed Risk Model with Stochastic Income

    摘要
  • 摘要: 本文考虑了具有随机收入的两类索赔干扰风险模型.建立了破产前最大盈余分布\mathscrG(u;d)所满足的积分--微分方程,假设年金收入量为指数分布时, 得到了当d\rightarrow+\infty时,\mathscrG(u;d)的拉普拉斯解,给出了当两类索赔数量分布均属于有理函数族时破产前最大盈余分布的显式解.

     

    Abstract: In this paper, we consider the two classes of perturbed risk model with stochastic income. We set up the integro-differential equations for the distribution of the maximum surplus before ruin \mathscrG(u;d). The Laplace transforms of \mathscrG(u;d),d\rightarrow+\infty are obtained for exponential premium income. The explicit expressions for the distribution of the maximum surplus before ruin are derived when the two classes claim amount distributions all belong to the rational family.

     

    • HTML全文
    • 参考文献(0)
    • 相关文章
    • 施引文献
  • 资源附件(0)

/

返回文章
返回