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考虑在马尔可夫过程环境下索赔到达时间间距为指数分布与Erlang(2)分布混合时的保险风险模型,建立简化的Gerber-Shiu函数所满足的微分积分方程,得到了破产概率所满足的公式.对两状态环境过程中的实例进行了具体的求解,得到的数值结果与预期性质是一致的.
Abstract：The risk model under Markov process environment with claim inter-arrival time obeyed to mixing exponential and Erlang(2) distribution is taken into consideration.According to the Markov modulation model,an integro-differential equation for the simplified Gerber-Shiu function is derived,thus the formula for ruin probability is obtained.An example is used in two process environments,the numerical results are as expected.
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基本信息:
DOI：
中图分类号:O211.62
引用信息:
[1]刘诚霖.一类索赔时间间距为混合分布的马氏调制风险模型[J],2013,12(01):71-75.
基金信息:
国家自然科学基金项目(NSFC10971127)