本文考虑精算模型受环境过程,保费收入计数过程,索赔计数过程I,索赔额过程B影响,建立马氏链环境中带随机收入的复合二项风险模型,简称MRICM,给出其特征五元组;证明了存在概率空间,及定义在其上的MRICM,它的特征五元组与给定的重合,并得出有限时间和无限时间条件破产概率的递推方程.
Abstract
In this paper, I consider that the actuarial model is affected by the environmental process , premium income counting process , claim counting process I and the claim process B, and establish a compound binomial risk model with random income in Markov chain environment, which is called MRICM, for short. The characteristic five-tuple set is given. It is proved that there exists a probabilistic space , and MRICM defined on it, and its characteristic five-tuple set coincides with the given one. The recursive equations of conditional ruin probability for finite time and infinite time are obtained.
关键词
马氏链环境 /
复合二项风险模型 /
随机收入 /
破产概率 /
递推方程
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Key words
Markov chain environment /
compound binomial risk model /
stochastic income /
ruin probability /
recursive equation
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参考文献
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脚注
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基金
统计学广西一流学科建设项目(桂教科研(2022)1号);广西财经大数据重点实验室资助;湖南省社科基金一般项目(16YBA239);广西社科基金一般项目(18BTJ001);2020年度陆海经济一体化协同创新中心研究项目(2020C06);广西跨境电商智能信息处理重点实验室(2020C005);海陆经济一体化与海上丝绸之路建设研究协同中心研究项目(2019YB14)
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