稀疏模型的三特征聯(lián)合分布以及貼現(xiàn)罰函數(shù)的研究.pdf

1、中南大學(xué)碩士學(xué)位論文稀疏模型的三特征聯(lián)合分布以及貼現(xiàn)罰函數(shù)的研究姓名：胡玉璽申請(qǐng)學(xué)位級(jí)別：碩士專業(yè)：概率論與數(shù)理統(tǒng)計(jì)指導(dǎo)教師：鄒捷中20061108ABSTRACTEvolvedfromtheclassicalriskmodel，peoplegeneralizeitinmanyaspectsForinstance，generalizethecountingprocessfrompoissonprocessintenewalprocess

2、andgeneralmarkovprocessBesides，Gerbergeneralizetheclassicalriskmodelintomodelwithperturbeddiffusionetcthisdissertation，basedonpapers【3】[4]【23】，considerseveralimportantacturialconceptsofthinningprocessInchapterl：Lookbacku

3、pontherecentresultaboutthinningprocessandcitesomenecessarybasicknowledgeInchapter2：Basedonthepaper[1】，atfirst，wemanagetogeneralizethejointdistributionintuintime，ruindeficR，themaximumsurplusofbeforeruin，andthemaximumsurpl

4、usofbeforethelasttimeruinandgettheexplicitexpressionwhentheclaimisexponentialdistributionInchapter3：Weconsiderthedismissthecontactandthetimesofclaimsareqthinning，pthinningprocessrespectivelyInthismodle，bysimulatingthecla

5、ssicalriskmodel，basedonthepaper[3114][23]，WeobtainthemartingaleandtheupperboundInchapter4：Considerthejointdistributionofpthinningprocess，whichthetimesofclaimsispthinningprocessofpremium，andbydualargument，weobtainthedensi