随机环境下相关多险种风险过程破产时间的Asmussen算法

doi:10.16088/j.issn.1001-6600.2016.03.010

广西师范大学学报（自然科学版） ›› 2016, Vol. 34 ›› Issue (3): 68-73.doi: 10.16088/j.issn.1001-6600.2016.03.010

随机环境下相关多险种风险过程破产时间的Asmussen算法

温玉卓¹, 唐胜达², 邓国和²

1.广西师范大学经济管理学院,广西桂林541004;
2.广西师范大学数学与统计学院,广西桂林541004

收稿日期:2016-01-18 出版日期:2016-09-30 发布日期:2018-09-17
通讯作者: 邓国和(1969—),男,湖南桂阳人,广西师范大学教授,博士。E-mail: dengguohe@mailbox.gxnu.edu.cn
基金资助:
国家自然科学基金资助项目(11461008);教育部人文社会科学研究基金资助项目(13YJA910003);广西人文社会科学发展研究中心青年专项项目(QNYB13016);广西人文社会科学研究中心“珠江-西江智慧经济带研究团队”阶段性成果课题

Asmussen’s Approach to Ruin Time of the Dependent Multi-typeRisk Processes in a Stochastic Environment

WEN Yuzhuo¹, TANG Shengda², DENG Guohe²

1.College of Economics and Management, Guangxi Normal University, Guilin Guangxi 541004, China;
2.College of Mathematics and Statistics, Guangxi Normal University, Guilin Guangxi 541004, China

Received:2016-01-18 Online:2016-09-30 Published:2018-09-17

摘要/Abstract

摘要： 本文提出并建立了随机环境下相关多险种的风险过程,在索赔服从PH分布下,本文将Asmussen方法推广应用于随机环境下相关多险种的风险过程,利用随机流体队列理论,给出了这一风险过程的破产时间的Laplace-stieltjes 变换(LST)的表示式、最终破产概率以及破产赤字分布,最后本文给出一个数值实例来说明相关结论的计算。

关键词: 风险过程, 破产时间, 随机流体队列, 相关多险种

Abstract: In this paper, a dependent multi-type risk process with a PH claim distribution in a stochastic environment is proposed. Using Asmussen’s method, this risk process is transformed into stochastic fluid queues (SFQ). By the theory of the SFQ, the Laplace-stieltjes transform (LST) of the ruin time, the ultimate ruin, and the distribution of the deficit are obtained. Finally, a numerical example is given to illustrate the theoretical results.

Key words: risk theory, ruin time, stochastic fluid queue, dependent multiple-type insurance

中图分类号:

O211.9

温玉卓, 唐胜达, 邓国和. 随机环境下相关多险种风险过程破产时间的Asmussen算法[J]. 广西师范大学学报（自然科学版）, 2016, 34(3): 68-73.

WEN Yuzhuo, TANG Shengda, DENG Guohe. Asmussen’s Approach to Ruin Time of the Dependent Multi-typeRisk Processes in a Stochastic Environment[J]. Journal of Guangxi Normal University(Natural Science Edition), 2016, 34(3): 68-73.

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随机环境下相关多险种风险过程破产时间的Asmussen算法

Asmussen’s Approach to Ruin Time of the Dependent Multi-typeRisk Processes in a Stochastic Environment

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