两类相关索赔模型下破产概率的若干结果  

Some Results of Ruin Probabilities in a Correlated Claims Model

作　　者：张未未[1] 赵选民[1] 李艳玲[1] 

机构地区：[1]西北工业大学应用数学系,陕西西安710072

出　　处：《系统工程理论与实践》2005年第1期43-48,共6页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(79970022);航空科学基金(02J53079)

摘　　要：　研究了两类相关风险模型中生存概率φ(u)的问题,将其中一个风险由一个复合Poisson过程推广到了广义复合Poisson过程,求出了索赔额分布为指数分布时生存概率的明确表达式,并研究了此模型下索赔额分布重尾时,φ(u)的一个尾等价关系.This paper is a further investigation into the problem of ruin probability in correlated aggregate claims model. We generalize one of the claims from a compound Poisson process to a generalized Poisson process. Explicit expressions are derived for the ultimate survival probabilities under the assumed model when the claim sizes are exponentially distributed, and a tail equivalence relationship of φ(u) is proved under the assumption that the claim size is heavy-tailed.

关 键 词：广义复合Poisson过程 相关索赔Erlang过程 破产概率 生存概率 

分 类 号：F225.9[经济管理—国民经济]