常分红壁下相依对偶模型的G-S函数

被引：0
|
作者：
薛英 [1 ]
刘鹏 [2 ]
机构：
[1] 包头师范学院数学科学学院
[2] 南开大学数学科学学院
来源：
南开大学学报(自然科学版) | 2014年 / 47卷 / 05期
关键词：
常分红壁; 相依对偶模型; FGM copula; Gerber-Shiu期望折现罚金函数;
D O I：
暂无
中图分类号：
F840.4 [保险业务]; F224 [经济数学方法];
学科分类号：
020204 ; 0701 ; 070104 ; 120404 ;
摘要：
考虑了索赔时间间隔和接下来的索赔额具有相依关系的对偶型,其相依关系由FGM copula描述.在其具有常分红壁的前提下,推导出了G-S函数所满足的积分微分方程,并给出了其满足的更新方程.
引用
收藏
页码：1 / 10
页数：10
相关论文
共 9 条
  • [1] On the Time Value of Ruin[J] . HansU. Gerber,EliasS.W. Shiu. &nbspNorth American Actuarial Journal . 1998 (1)
  • [2] Optimal dividends with incomplete information in the dual model
    Gerber, Hans U.
    Smith, Nathaniel
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2008, 43 (02): : 227 - 233
  • [3] Optimizing venture capital investments in a jump diffusion model
    Bayraktar, Erhan
    Egami, Masahiko
    [J]. MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2008, 67 (01) : 21 - 42
  • [4] Stochastic frontier models with dependent error components
    Smith, Murray D.
    [J]. ECONOMETRICS JOURNAL, 2008, 11 (01): : 172 - 192
  • [5] The impact on ruin probabilities of the association structure among financial risks
    Tang, Qihe
    Vernic, Raluca
    [J]. STATISTICS & PROBABILITY LETTERS, 2007, 77 (14) : 1522 - 1525
  • [6] Optimal dividends in the dual model[J] . Benjamin Avanzi,Hans U. Gerber,Elias S.W. Shiu. &nbspInsurance Mathematics and Economics . 2006 (1)
  • [7] On the time to ruin for Erlang(2) risk processes
    Dickson, DCM
    Hipp, C
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2001, 29 (03): : 333 - 344
  • [8] Analysis of ruin measures for the classical compound Poisson risk model with dependence. Helene Cossette,Etienne Marceau,Fouad Marri. Scandinavian Actuarial Journal . 2010
  • [9] On the time value of ruin. Gerber HU,Shiu ESW. North American Archaeologist . 1998
1