欢迎来到天天文库
浏览记录
ID:32138098
大小:1.39 MB
页数:38页
时间:2019-01-31
《随机观察的复合泊松风险模型的分析》由会员上传分享,免费在线阅读,更多相关内容在学术论文-天天文库。
1、ABSTRACTWiththedevelopmentofthesocialeconomy,thefinancialindustryandtheinsuranceindustryhavebeendevelopingrapidly.Risktheory,ageneraltheoryusedbydecision-makersoroperatorsinriskpredictionandassessmentatpresent,hasbeenwidelyusedinthefinancialindustryandtheins
2、uranceindustry.Intheinsurancemathematics,ruintheoryhasbeenthecorecontentandthecentralobjectofrisktheoryinrecentdecades.Thestudyofruintheoryismeaningfulforprobabilitytheoryandhaspracticalapplicationbackground.GerberandShiuproposedtheexpecteddiscountedpenaltyf
3、unctionwhichiscommonlyreferredtoasGerber-Shiufunctionintheruinliterature.【22】Thestudyofexpecteddiscountedpenaltyfunctionwithagreatmanyofadvantageshasbeenahottopicofactuarialscience.Pleaserefertotheliteraturel81andtheliteraturet91formore.Thethesis.basedonthec
4、lassicalcompound-Poissonriskmodel,consideringrandomobservationtime,getscontinuoussituationschangedtocontinuousanddiscretecombiningsituations,andgetsvariousriskmodelsbybeingappliedtodifferentaspects.Thenthethesisstudiesthediscountedpenaltyfunction,andfinallyg
5、etsthedifferentialintegralequation.Thethesisconsistsoftwopartsmainly:III1.Applytherandomlyobservedclassicalcompound-PoissonriskmodeltotheonewithBrownianMovement,andcalculatethedifferentialintegralequationthatthediscountedpenaltyfunctionsatisfiesundertheriskm
6、odel.2.Applytherandomlyobservedclassicalcompound-Poissonriskmodeltotheonewithrandomincome,andcalculatethedifferentialintegralequationthatthediscountedpenaltyfunctionsatisfiesundertheriskmodel.KeyWords:randomobservation,classicalcompound—Poissonriskmodel,disc
7、ountedpenaltyfunction,BrownianMotion,riskmodelwithrandomincome.IV目录中文摘要⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯I英文摘要⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯..III1.绪言1.1研究的背景与意义⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯(1)2.预备知识2.1风险理论中的破产量⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯(5)2.2布朗运动⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯(6)2.3复合Poisson风险模型⋯⋯⋯
8、⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯(7)2.4Sparre.Andersen风险模型⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯(9)2.5随机观察的复合泊松风险模型⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯.(10)3.随机观察中带干扰的复合Poisson风险模型的研究3.1模型引入⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯⋯.(13)3.2随机观察中带干扰的折罚函数以及积分一微分方程⋯⋯⋯⋯.(14)4.随机观察中
此文档下载收益归作者所有