| 费率受制于位相半马氏过程的风险模型 |
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| 引用本文： | 耿显民,侯振挺.费率受制于位相半马氏过程的风险模型[J].南京航空航天大学学报,2004,36(5):662-665. |
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| 作者姓名： | 耿显民 侯振挺 |
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| 作者单位： | 1. 南京航空航天大学理学院,南京,210016
2. 中南大学数学学院,长沙,410075 |
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| 基金项目： | 国家自然科学基金 ( 1 0 1 71 0 0 9)资助项目，高校博士点基金 ( 2 0 0 1 0 5 3 3 0 0 1 )资助项目。 |
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| 摘 要： | 对带马氏链的线性和非线性系统，经过众多学者近20多年的努力，已取得一系列重要成果。然而，由于马氏链状态逗留时间服从负指数分布，使得这些成果在应用中有很大的局限性。本文首先探讨了位相半马氏过程的性质，然后以位相半马氏过程代替马氏过程，研究风险模型的相关问题，取得了与马氏链相同的研究成果，从而说明了位相半马氏过程在克服由马氏过程带来的局限性中的作用。
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| 关 键 词： | 位相分布 半马氏过程 破产概率 |
| 文章编号： | 1005-2615(2004)05-0662-04 |
| 修稿时间： | 2003年10月27 |
Risk Models of the Premium Rates Which is Controlled By Phase Semi-Markov Process |
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| GENG Xian-min ,HOU Zhen-ting.Risk Models of the Premium Rates Which is Controlled By Phase Semi-Markov Process[J].Journal of Nanjing University of Aeronautics & Astronautics,2004,36(5):662-665. |
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| Authors: | GENG Xian-min HOU Zhen-ting |
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| Institution: | GENG Xian-min 1,HOU Zhen-ting 2 |
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| Abstract: | Over the past two decades, many efforts are made o n the problems for linear and nonlinear systems with Markov chains, and a number of results are achieved.However, due to the negative exponential distribution o f the time when a Markov chain sojourn at a state, there are many restrictions f or the existing results in practical applications. This paper studies the relate d problems to risk models, uses the phase type semi-Markov processes to replace the finite Markov processes, same results are obtained. A phase semi-Markov pr ocess is successful to overcome the restriction of Markov process. |
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| Keywords: | phase type distribution semi-Markov process ruin pr obability |
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