黄玉洁,冯敬海,宋立新.马尔可夫环境下聚合索赔的前二阶矩[J].数学研究及应用,2010,30(6):967~975
马尔可夫环境下聚合索赔的前二阶矩
The First Two Moments of Aggregate Claims in a Markovian Environment
投稿时间:2009-03-19  最后修改时间:2009-09-18
DOI:10.3770/j.issn:1000-341X.2010.06.003
中文关键词:  离散时间保险风险模型  折现聚合索赔  环境过程  矩.
英文关键词:discrete-time insurance risk model  discounted aggregate claims  circumstance process  moment.
基金项目:大连理工大学交叉学科前沿专题研究基金(Grant No.DUT10JS06).
作者单位
黄玉洁 大连理工大学数学科学学院, 辽宁 大连 116024; 鞍山师范学院数学系, 辽宁 鞍山 114005 
冯敬海 大连理工大学数学科学学院, 辽宁 大连 116024 
宋立新 大连理工大学数学科学学院, 辽宁 大连 116024 
摘要点击次数: 1464
全文下载次数: 1139
中文摘要:
      我们研究了保险风险和金融风险在离散时间马尔可夫环境下折现聚合索赔问题.我们假设索赔额与金融风险岁经济状态波动,经济状态由马尔可夫环境状态描述.在假设下,我们将折现索赔的分布用拉普拉斯变换确定一个微分方程系统,进而,应用微积分方程研究他在马尔可夫环境下的折现聚合索赔的前二阶矩.
英文摘要:
      We consider the discounted aggregate claims when the insurance risks and financial risks are governed by a discrete-time Markovian environment. We assume that the claim sizes and the financial risks fluctuate over time according to the states of economy, which are interpreted as the states of Markovian environment. We will then determine a system of differential equations for the Laplace-Stieltjes transform of the distribution of discounted aggregate claims under mild assumption. Moreover, using the differentio-integral equation, we will also investigate the first two order moments of discounted aggregate claims in a Markovian environment.
查看全文  查看/发表评论  下载PDF阅读器