【摘要】 本文分析阈值分红策略下具有PH索赔分布的风险过程,并给出计算这一风险模型的新破产时间的方法.将阈值分红策略下的风险过程转化为有限容量的Markov流体队列(FMFQ)模型,在FMFQ模型中,引入一个新的连续积累过程用以刻画FMFQ中系统在特定状态中的停留时间,从而得到风险过程的破产时间.应用FMFQ理论及转换关系,得到阈值分红策略下具有PH索赔分布的风险过程破产时间的Laplace-Stieltjes变换(LST)表示式,并给出风险过程的最终破产概率的解析表示式.更多还原

【Abstract】 In this paper,we analyzed a risk model with phase-type claims under a threshold dividend strategy,and proposed a novel algorithm to obtain the Laplace-Stieltjes transform( LST) of the ruin time. We first transformed this risk process into a Finite Markov Fluid Queue( FMFQ),and then proposed a new continuous accumulative process,from which the ruin time of the risk model can be obtained. Using the FMFQ theory,we obtained the LST expressions of the ruin time,and also derived the analytical expression for the ultimate ruin probability.更多还原