数学物理学报 ›› 2019, Vol. 39 ›› Issue (4): 918-931.

• 论文 • 上一篇    

对偶延迟更新风险模型的占位时

张万路1, 殷晓龙2, 赵翔华2   

  1. 1 中央财经大学保险学院 北京 102206;
    2 曲阜师范大学 山东曲阜 273165
  • 收稿日期:2018-05-04 修回日期:2018-09-14 发布日期:2019-09-11
  • 通讯作者: 赵翔华 E-mail:qfzxh@163.com
  • 基金资助:
    国家自然科学基金(11701319,11571198)和山东省自然科学基金(ZR2014AM021)

On the Occupation Times in a Dual Delayed Sparre Andersen Risk Model

Zhang Wanlu1, Yin Xiaolong2, Zhao Xianghua2   

  1. 1 College of Insurance, Central University of Finance and Economics, Beijing 102206;
    2 School of Statistics, Qufu Normal University, Shandong Qufu 273165
  • Received:2018-05-04 Revised:2018-09-14 Published:2019-09-11
  • Supported by:
    Supported by the NSFC (11701319,11571198) and the Natural Science Funndation of Shan dong Province (ZR2014AM021)

摘要: 该文主要研究了对偶延迟更新风险模型的占位时问题.利用转换的方法及Lévy过程的波动性,当索赔服从指数分布时,给出了占位时的联合拉普拉斯变换的表达式.

关键词: 对偶延迟更新风险模型, 尺度函数, 转方法换, 拉普拉斯变换

Abstract: In this paper, we study the joint Laplace transform of the occupation times until ruin in a dual delayed Sparre Andersen risk model with exponential jumps. Using transformation method and the fluctuation theory, an explicit expression of the joint Laplace transform is derived.

Key words: Dual delayed Sparre Andersen risk model, Scale function, Transformation method, Laplace transform

中图分类号: 

  • O211.3