A matrix operator approach to the analysis of ruin-related quantities in the phase-type renewal risk model
A matrix operator approach to the analysis of ruin-related quantities in the phase-type renewal risk model
复制标题
DOI：
--
复制
发表时间：
2009
期刊：
影响因子：
--
通讯作者：
Runhuan Feng
中科院分区：
文献类型：
--
作者：
Runhuan Feng
在破产理论中，众所周知，在Erlang-n更新风险模型中，破产时罚金的期望现值满足一个亏损更新方程。本文提出了一种新的矩阵算子方法，推导出了一个并行的亏损更新方程的期望现值的总运营成本的阶段型更新风险模型，从而提供了显式的矩阵解析解的各种破产相关的量。
It is well-known in ruin theory that the expected present value of penalty at ruin satisfies a defective renewal equation in the Erlang-n renewal risk model. This paper presents a new matrix operator approach to derive a parallel defective renewal equation for the expected present value of total operating costs in a phase-type renewal risk model and hence provides explicit matrix analytic solutions to a variety of ruin-related quantities.