相关风险模型中生存概率的若干结果  

Some Results of Survival Probability in the Correlated Claims Model

作　　者：张未未[1] 张红莉[2] 

机构地区：[1]惠州学院数学系,广东惠州516015 [2]洛阳师范学院政法学院,河南洛阳471022

出　　处：《惠州学院学报》2006年第6期6-9,共4页Journal of Huizhou University

摘　　要：本文进一步讨论了两类相关风险模型中破产概率的相关结果,研究了索赔过程为特殊的广义Pois-son过程,索赔额分布为指数分布时生存概率的求解问题。Do a further investigation into the problem of bankruptcy probability in correlated aggregate claims model. Explicit expressions are derived for the ultimate survival probabilities under the assumed model when the two claim number processes are correlated, the claim sizes are exponentially distributed.

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

分 类 号：O211.9[理学—概率论与数理统计]