基于广义FGM Copula的相依和扰动风险模型下的Gerber-Shiu函数分析（英文）

论文摘要

该文考虑了带扰动的相依风险模型,并以一类广义的Farlie-Gumbel-Morgenstern copula定义了索赔额和索赔时间间隔之间的相依结构.首先,该模型下期望折扣罚金函数所满足的积分方程、拉普拉斯变换和瑕疵更新方程被给出.最后当索赔额分布为指数分布时,给出了期望折扣罚金函数所满足的解析解和破产概率的数值实例.

论文目录

文章来源

类型: 期刊论文

作者: 杨龙,邓国和,杨立,黄远敏

关键词: 时间相依索赔额,期望折扣罚金函数,拉普拉斯变换,瑕疵更新方程,破产概率

来源: 应用概率统计 2019年04期

年度: 2019

分类: 基础科学,经济与管理科学

专业: 数学,保险

单位: 广西师范大学数学与统计学院

基金: supported by the National Natural Science Foundation of China(Grant Nos.11461008,11761014),the Guangxi Natural Science foundation(Grant Nos.2016GXNSFBA380035,2017GXNSFAA198243,2018GXNSFAA281016),Open Foundation for Key Laboratories and Statistical Models in Universities of Guangxi(Grant No.2017GXKLMS002),the Youth science Foundation of Guangxi Normal University(The study of ruin problems based on dependent risk models)

分类号: O211.9;F840

页码: 373-396

总页数: 24

文件大小: 988K

下载量: 60

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标签：时间相依索赔额论文;  期望折扣罚金函数论文;  拉普拉斯变换论文;  瑕疵更新方程论文;  破产概率论文;