复合二项风险模型下有限时间内的生存概率

journal6 ›› 2000, Vol. 21 ›› Issue (2): 16-19.

复合二项风险模型下有限时间内的生存概率

( 1.湘潭工学院数理系,湖南湘潭 411201;2.湖南大学理学院,湖南长沙 410081)

出版日期:2000-06-15 发布日期:2013-01-16
作者简介:龚日朝( 1966~ ) ,男, 湖南省安化县人,湘潭工学院数理系讲师, 硕士,主要从事金融风险随机分析;杨向群( 1938~ ) ,男, 湖南省永州人,湖南师范大学理学教授, 博士生导师,主要从事马尔可夫过程研究.
基金资助:
国家自然科学基金资助项目( 19671028)

The Finite Time Survival Probabilities in the Compound Binomial Model

( 1. Department ofMathematics and Physics, Xiangtan Polytechnic University, Xiangtan 411201, Hunan China;2. College of Science, Hunan Normal University, Changsha 410081,Hunan China

Online:2000-06-15 Published:2013-01-16

摘要/Abstract

摘要：研究了完全离散复合二项风险模型,得到了有限时间内的生存概率、生存到时刻 n 而且盈余为某数x ( x≥0)的概率、以及破产时为止理赔次数 v、破产瞬间前夕盈余 R(τ- )和破产时刻赤字| R (τ) | 的概率律.

关键词： 复合二项风险模型, 生存概率, 破产时赤字

Abstract: The fully discrete binomial risk model are considered and the probabilities of the following events are discussed in this paper: the insurance company survives up to any fixed time n, the insurance company survives up to any fxed time n and the surplus at time n equals x( x≥0) . Finally, the probabilistic laws of the following events are gotten: (i) the index of the claim which causes the ruin, ( ii) the deficit at ruin.

Key words: compound binomial model, survival probability, deficit at ruin

龚日朝, 杨向群. 复合二项风险模型下有限时间内的生存概率[J]. journal6, 2000, 21(2): 16-19.

GONG Ri-Chao, YANG Xiang-Qun. The Finite Time Survival Probabilities in the Compound Binomial Model[J]. journal6, 2000, 21(2): 16-19.

[1]	徐俊科, 刘再明. 交替变化利率下的风险模型[J]. journal6, 2007, 28(4): 16-19.
[2]	龚日朝, 杨向群. 复合二项风险模型下的破产概率[J]. journal6, 2000, 21(4): 41-43.