一类具有时间相依索赔风险模型的破产概率 |
| |
作者姓名: | 谢杰华 邹娓 |
| |
作者单位: | 南昌工程学院理学系 |
| |
摘 要: | 本文考虑了一类具有时间相依索赔的风险模型,模型中包含了2种索赔:主索赔和由它引起的副索赔,并且副索赔可能推迟发生.利用Laplace变换方法,得到了该风险模型破产概率的计算公式,并在索赔额为指数分布的情形下,得到了破产概率所满足的微分方程,给出了破产概率的精确表达式.
|
关 键 词: | 风险模型 破产概率 Laplace变换 时间相依索赔 |
Ruin probabilities of a risk model with time-correlated claims |
| |
Authors: | Xie jie-hua Zou wei |
| |
Institution: | Department of Science, Nanchang Institute of Technology |
| |
Abstract: | Ruin Probabilities of a risk model with time-correlated claims are studied in this paper. It is assumed that every main claim may produce a by-claim and the occurrence of the by-claim may be delayed. By means of the Laplace tansform, the ruin probabilities of the risk model are obtained. The differential equations of the ruin probabilities are obtained and the explicit expressions of the ruin probabilities are given when the claim sizes are exponentially distributed. |
| |
Keywords: | Risk Model ruin Probability Laplace transform time-correlated claims |
|
| 点击此处可从《》浏览原始摘要信息 |
| 点击此处可从《》下载免费的PDF全文 |