[1]周纹心,申海燕,周国立*.具有随机支出的带延迟的对偶保险风险模型[J].江西师范大学学报(自然科学版),2021,(04):343-348.[doi:10.16357/j.cnki.issn1000-5862.2021.04.04]
　ZHOU Wenxin,SHEN Haiyan,ZHOU Guoli*.The Delayed Dual Risk Model with Stochastic Expense[J].Journal of Jiangxi Normal University:Natural Science Edition,2021,(04):343-348.[doi:10.16357/j.cnki.issn1000-5862.2021.04.04]
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具有随机支出的带延迟的对偶保险风险模型()
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《江西师范大学学报》（自然科学版）[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2021年04期
页码:
343-348
栏目:
数学与应用数学
出版日期:
2021-08-10

文章信息/Info

Title:
The Delayed Dual Risk Model with Stochastic Expense
文章编号:
1000-5862(2021)04-0343-06
作者:
周纹心1; 申海燕2; 周国立2*
1.重庆师范大学经济与管理学院,重庆 401331; 2.重庆大学数学与统计学院,重庆 401331
Author(s):
ZHOU Wenxin1; SHEN Haiyan2; ZHOU Guoli2*
1.School of Economics and Management,Chongqing Normal University,Chongqing 401331,China; 2.School of Mathematics and Statistics,Chongqing University,Chongqing 401331,China
关键词:
对偶风险模型;  延迟;  随机支出;  积分方程;  指数分布
Keywords:
dual risk model;  delay;  stochastic expense;  integral equations;  exponential distribution
分类号:
O 211.67
DOI:
10.16357/j.cnki.issn1000-5862.2021.04.04
文献标志码:
A
摘要:
该文考虑了在带延迟的对偶风险模型中支出服从指数分布的情况.首先,运用无穷小分析法以及随机过程的基本理论推导出破产时间的拉普拉斯变换、破产概率和破产时间的期望所满足的积分-微分方程; 其次,运用常微分方程方法得到了当随机支出和收入变量均为指数分布时的破产概率和相关破产时间的解析表达式; 最后,列举了数值实例来论证在模型中的某些参数对破产概率的影响.
Abstract:
The case that expense follows exponential distribution in the delayed dual risk model is considered.Firstly,by using the infinitesimal method and the basic theory of stochastic processes,the integral equations of the Laplace transform of the ruin time,the ruin probability and the expected value of the ruin time are derived.Secondly,when the stochastic expense and revenue variables are exponential distribution,the explicit expressions for ruin probability and related ruin time by using the ordinary differential equation are obtained.Finally,numerical examples are given to demonstratethe effect of some parameters in this model on ruin probability.

参考文献/References:

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备注/Memo

备注/Memo:
收稿日期:2021-05-20
基金项目:国家自然科学基金面上课题(11971077)和重庆市自然科学基金(cstc2020jcyj-msxm2554)资助项目.
通信作者:周国立(1981—),男,湖南娄底人,教授,博士,博士生导师,主要从事保险风险、金融管理研究.E-mail:zhouguoli736@126.com
更新日期/Last Update: 2021-08-10