离散更新风险模型下的赤字时间及其占比

Deficit duration and its proportion in the discrete-time Sparre Andersen risk model

  • 摘要: 本文基于一个符合正载荷条件的离散更新风险模型,考虑其赤字时间及其占比的矩。本文利用索赔到达时间间隔的分布,将每个单位时间内是否发生索赔构造成一个0 − 1分布的随机变量序列,以此序列推导出了在有限时间内的赤字时间及其占比的矩的递推公式——无论它有无分红边界,并通过算子得出其解的递归算法.

     

    Abstract: This paper discusses the moment of deficit duration and its proportion in the discrete-time Sparre Andersen risk model with relative postive safety loading. we use CDF of claim inter-arrival times to construct a sequences of random variables in 0-1 distribution basis with and without claim in per unit time. This sequences is then used to derive the recursive formulas of moments of the deficit duration and its proportion in finite time with and without a dividend barrier. in additions, we use operators to design algorithms for finding their solutions.

     

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