| 基于更新论证法考虑负索赔的一类与时间相关的风险模型的罚金折现期望函数 |
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| 引用本文： | 聂高琴,刘次华,徐立霞.基于更新论证法考虑负索赔的一类与时间相关的风险模型的罚金折现期望函数[J].上海大学学报(英文版),2007,11(6):536-540. |
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| 作者姓名： | 聂高琴 刘次华 徐立霞 |
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| 作者单位： | Department of Mathematics Huazhong Universityof Science and Technology，Department of Mathematics，Huazhong University of Science and Technology，Department of Mathematics，Huazhong University of Science and Technology，Wuhan 430074，P.R.China 2.School of Statistics，Capital University of Economics and Business，Beijing 100070，P.R.China，Wuhan 430074，P.R.China，Wuhan 430074，P.R.China |
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| 摘 要： | In this paper,the expected discounted penalty function is considered in the risk process with the time-correlated claims,that is,every main claim can cause a by-claim but the occurrence of the by-claim may be delayed.By the renewal argument,it is shown that the expected value satisfies a system of integro-differential equations.Moreover,the explicit expression for the Laplace transform of the expected value is derived by means of Rouchés theorem.A numerical example is
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| 关 键 词： | 更新论证法 负索赔 风险模型 罚金 期望函数 |
| 收稿时间： | 29 December 2005 |
| 修稿时间： | 2005-12-29 |
The expected discounted penalty function for a kind of time-correlated risk model based on the renewal argument in consideration of the by-claim |
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| NIE Gao-qin,LIU Ci-hua,XU Li-xia.The expected discounted penalty function for a kind of time-correlated risk model based on the renewal argument in consideration of the by-claim[J].Journal of Shanghai University(English Edition),2007,11(6):536-540. |
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| Authors: | NIE Gao-qin LIU Ci-hua XU Li-xia |
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| Institution: | 1. Department of Mathematics, Huazhong University of Science and Technology, Wuhan 430074, P. R. China;School of Statistics, Capital University of Economics and Business, Beijing 100070, P. R. China
2. Department of Mathematics, Huazhong University of Science and Technology, Wuhan 430074, P. R. China |
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| Abstract: | In this paper, the expected discounted penalty function is considered in the risk process with the time-correlated claims,
that is, every main claim can cause a by-claim but the occurrence of the by-claim may be delayed. By the renewal argument,
it is shown that the expected value satisfies a system of integro-differential equations. Moreover, the explicit expression
for the Laplace transform of the expected value is derived by means of Rouché’s theorem. A numerical example is also given
for illustrating the result.
Project supported by the National Natural Science Foundation of China (Grant Nos.10301011, 70271069) |
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| Keywords: | expected discounted penalty by-claim integro-differential equation Laplace transform |
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