张志民博士：受谱负Levy过程干扰的Sparre Andersen风险过程
发布日期：2010-05-10一、报告题目：On a Sparre Andersen risk model perturbed by a spectrally
negative Levy process（受谱负Levy过程干扰的Sparre Andersen风险过程）
二、报告人： 张志民 博士 （重庆大学，香港大学统计精算系访问学者）
三、内容摘要
In this paper, we consider a Sparre Andersen risk model perturbed by a spectrally negative Levy process. Assuming that the the interclaim times follow a Coxian distribution, we show that the Laplace transforms for the Gerber-Shiu functions can be obtained by employing the roots of a
generalized Lundberg equation. When the spectrally negative Levy process is a combination of a Brownian motion and a compound Poisson process with exponential jumps, explicit expressions and asymptotic formulas for the Gerber-Shiu functions are obtained for exponential claims and heavy-tailed claims, respectively.
四、时间：本周三（2010年5月12日）上午10点
五、地点：精算研究院会议室
[编辑]：孙颖
