کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4640780 | 1341287 | 2010 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The perturbed compound Poisson risk model with two-sided jumps
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
In this paper, we consider a perturbed compound Poisson risk model with two-sided jumps. The downward jumps represent the claims following an arbitrary distribution, while the upward jumps are also allowed to represent the random gains. Assuming that the density function of the upward jumps has a rational Laplace transform, the Laplace transforms and defective renewal equations for the discounted penalty functions are derived, and the asymptotic estimate for the probability of ruin is also studied for heavy-tailed downward jumps. Finally, some explicit expressions for the discounted penalty functions, as well as numerical examples, are given.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 233, Issue 8, 15 February 2010, Pages 1773–1784
Journal: Journal of Computational and Applied Mathematics - Volume 233, Issue 8, 15 February 2010, Pages 1773–1784
نویسندگان
Zhimin Zhang, Hu Yang, Shuanming Li,