کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077018 1374113 2009 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A perturbed risk model with dependence between premium rates and claim sizes
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
A perturbed risk model with dependence between premium rates and claim sizes
چکیده انگلیسی
This paper considers a dependent risk model with diffusion for the surplus of an insurer, in which a current premium rate will be adjusted after a claim occurs and the adjusted rate is determined by the amount of the claim. At the same time, the diffusion is changed correspondingly. Using Rouché's theorem, we first derive the closed-form solution for the Laplace transform of the survival probability in the dependent risk model. Then, using the Laplace transform, we derive a defective renewal equation satisfied by the survival probability. For the exponential claim sizes, we present the explicit recursion expression for the survival probability, by which we can exactly solve the survival probability step-by-step. We also illustrate the influence of the model parameters in the dependent risk model on the survival probability by numerical examples.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 45, Issue 3, December 2009, Pages 382-392
نویسندگان
, ,