更新模型中的Schmitter问题

The Bi-atomic Uniform Solution of Schmitter’s Problem in Renewal Models

  • 摘要: Schmitter问题是指在期望和方差固定的条件下,求出使得破产概率最大(小)的索赔分布.F.De Vylder讨论了古典风险模型的情况.本文讨论了更新风险模型的情况,推广了其结果.

     

    Abstract: The problem posed by Schmitter was to maximize the ruin probability when mean and variance of the claim size distribution axe given. The case in classical risk model are discussed by F. De Vylder in 1997. In this paper, we discuss the case in renewal risk model.

     

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