方世祖, 张春梅, 赵培臣, 孙歆. 复合马尔可夫二项模型的Gerber-Shiu折现罚金函数[J]. 应用概率统计, 2011, 27(5): 460-472.
引用本文: 方世祖, 张春梅, 赵培臣, 孙歆. 复合马尔可夫二项模型的Gerber-Shiu折现罚金函数[J]. 应用概率统计, 2011, 27(5): 460-472.
shu
Fang Shizu, Zhang Chunmei, Zhao Peichen, Sun Xin. The Gerber-Shiu Discounted Penalty Function in the Compound Markov Binomial Model[J]. Chinese Journal of Applied Probability and Statistics, 2011, 27(5): 460-472.
Citation: Fang Shizu, Zhang Chunmei, Zhao Peichen, Sun Xin. The Gerber-Shiu Discounted Penalty Function in the Compound Markov Binomial Model[J]. Chinese Journal of Applied Probability and Statistics, 2011, 27(5): 460-472.
shu

复合马尔可夫二项模型的Gerber-Shiu折现罚金函数

The Gerber-Shiu Discounted Penalty Function in the Compound Markov Binomial Model

    摘要
  • 摘要: 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.

     

    Abstract: 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.

     

    • 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