Shock Models Driven by A Cluster Process with Levy Perturbation and Their Applications in Insurance Risk

被引：1

作者：

Bai, Jianming ^{[1
]}

Liu, Fanghui ^{[1
]}

机构：

[1] Lanzhou Univ, Sch Management, Lanzhou 730000, Peoples R China

来源：

2012 FIFTH INTERNATIONAL CONFERENCE ON BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING (BIFE) | 2012年

关键词：

Cumulative shock model; Extreme shock model; Cluster point process; Infinite divisibility; Insurance risk model;

D O I：

10.1109/BIFE.2012.131

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

We construct a class of new cumulative and extreme shock models based on cluster point processes with insurance risk background. For describing the randomicity of environment, a perturbation process is also incorporated into our models. Under the basic assumptions that the primary shock process is a non-homogeneous Poisson and the perturbing term is a Levy process, we investigate the asymptotic behaviors of the reliability system and applied the corresponding results to non-life insurance risk issue.

引用

页码：609 / 613

页数：5

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