具有两类索赔风险过程的破产函数  

On the Ruin Functions for Two Classes of Risk Processes

作　　者：张燕[1] 赵选民[1] 刘向增[1] 

机构地区：[1]西北工业大学应用数学系,西安710072

出　　处：《科学技术与工程》2007年第18期4670-4675,共6页Science Technology and Engineering

基　　金：国家自然科学基金(79870022);国家航空基金(02553079)资助

摘　　要：研究具有两类索赔的风险过程三种分布函数。当两类索赔计数过程均为Erlang(2)过程时,推导出了破产前瞬间盈余的分布函数,破产赤字的分布函数和破产前瞬间盈余与破产赤字的联合分布函数所满足的积分方程。研究了这些破产函数的渐近性质。The ruin functions for a risk model involving two classes of insurance risks are considered. When the claim number processes are Erlang （2） processes, the formulae are derived for the distribution of the surplus immediately before ruin, for the distribution of the surplus immediately after ruin and the joint distribution of the surplus immediately before and after ruin. The asymptotic properties of these ruin functions are also investigated.

关 键 词：Erlang(2)过程 破产函数 分布函数 风险模型 

分 类 号：F224.12[经济管理—国民经济]