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On the Gerber-Shiu discounted penalty function for the ordinary renewal risk model with constant interest
Surplus immediately prior to ruin Deficit at ruin
2011/11/7
In this paper, we study the Gerber-Shiu discounted penalty function for the ordinary renewal risk model modified by the constant interest on the surplus. The time of ruin is analyzed in terms of it$\&...
We analyze the size dependence and temporal stability of firm bankruptcy risk in the US economy by applying Zipf scaling techniques. We focus on a single risk factor-the debt-to-asset ratio R-in order...
Distribution of Deficit at Ruin for a PDMP Insurance Risk Model
integro-differential equation risk process
2007/12/11
In this paper we consider the risk process described by a piecewise deterministic Markov processes (PDMP). We mainly discuss the distribution of the deficit at ruin for the risk process. We derive the...
Ruin Probabilities under a Markovian Risk Model
risk processes ruin probabilities markov chains
2007/12/10
In this paper, a Markovian risk model is developed, in which the occurrence of the claims is described by a point process {N(t)}_(t≥0) with N(t) being the number of jumps of a Markov chain during the ...
In this paper we study a risk model with settlement delay in which the claimnumber process is a non-homogeneous Poisson process.