聂昌伟, 陈密. 一类离散马氏调节风险模型的期望惩罚函数[J]. 应用概率统计, 2021, 37(3): 291-302. DOI: 10.3969/j.issn.1001-4268.2021.03.005
引用本文: 聂昌伟, 陈密. 一类离散马氏调节风险模型的期望惩罚函数[J]. 应用概率统计, 2021, 37(3): 291-302. DOI: 10.3969/j.issn.1001-4268.2021.03.005
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NIE Changwei, CHEN Mi. The Expected Penalty Function in a Discrete Markov-Modulated Risk Model[J]. Chinese Journal of Applied Probability and Statistics, 2021, 37(3): 291-302. DOI: 10.3969/j.issn.1001-4268.2021.03.005
Citation: NIE Changwei, CHEN Mi. The Expected Penalty Function in a Discrete Markov-Modulated Risk Model[J]. Chinese Journal of Applied Probability and Statistics, 2021, 37(3): 291-302. DOI: 10.3969/j.issn.1001-4268.2021.03.005
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一类离散马氏调节风险模型的期望惩罚函数

The Expected Penalty Function in a Discrete Markov-Modulated Risk Model

    摘要
  • 摘要: 本文将具有马尔科夫性质的随机保费收入以及随机分红策略引入到复合二项风险模型中, 运用母函数的方法,得到了不同状态下期望惩罚函数的递推公式和初始值. 最后,通过一个数值例子展示了破产概率关于初始盈余和分红边界的变化情况.

     

    Abstract: In this paper, the compound binomial risk model is extended by involving the random premium income with Markov property and random dividend strategy. By the method of generating function, the recursive formula and initial values for the expected penalty functions with different initial states are obtained. Finally, some values of the ruin probability that change with the initial value and dividend barrier are shown in a numerical example.

     

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