The Application of Martingale in a Generalized Risk Model with Negative Binomial Distribution
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The Application of Martingale in a Generalized Risk Model with Negative Binomial Distribution
Vol. 15, Issue 1, Pages: 67-69(2010)
作者机构:
哈尔滨理工大学应用科学学院
作者简介:
基金信息:
DOI:
CLC:F224;F840
Published:2010
稿件说明:
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JI Hong-wei, KONG Fan-liang. The Application of Martingale in a Generalized Risk Model with Negative Binomial Distribution[J]. 2010, 15(1): 67-69.
DOI:
JI Hong-wei, KONG Fan-liang. The Application of Martingale in a Generalized Risk Model with Negative Binomial Distribution[J]. 2010, 15(1): 67-69.DOI:
The Application of Martingale in a Generalized Risk Model with Negative Binomial Distribution
摘要
考虑了保费、理赔支付时间为离散时间的风险模型
根据寿险保险实际情况
研究了带有利率、通货膨胀率及带退保单因素的负二项风险模型及其盈余的性质.应用鞅分析方法
探讨了由该风险模型得到的破产概率的一个表达式.
Abstract
In this paper
considering the effects brought by interest rate
inflatable rate and surrender in life insurance
we study a discrete time risk model with negative binomial distribution and its character of surplus and a expression of ruin probability of the risk model by martingale analysis.