相关风险和模型的破产概率  

RUIN PROBABILITY FOR THE RISK PROCESS WITH CORRELATED RISK SUMS

作　　者：王刈禾[1] 刘艳[2] 陈晓坤[3] 

机构地区：[1]襄樊学院数学系,湖北襄樊441003 [2]武汉大学数学与统计学院,湖北武汉430072 [3]华中农业大学理学院,湖北武汉430070

出　　处：《数学杂志》2007年第6期731-734,共4页Journal of Mathematics

基　　金：国家自然基金资助项目(1007105870273029)

摘　　要：本文研究了两险种理赔到达过程相关的正风险和模型与负风险和模型.利用Lundberg指数是相关因子的单调递减函数的性质,证明了破产概率是随着相关因子的增加而增大的,从而将相应的结果推广到了两险种理赔到达过程相关的风险和模型.In this paper, we consider the correlated aggregate risk processes with positive and negative risk sums and two classes of claims. We prove that the ruin probability increases when the correlation factor becomes larger by applying the property that Lundberg exponent is an decreasing function of correlation factor. Therefore, the corresponding results so far are generalized to the correlated aggregate risk processes with two classes of claims.

关 键 词：相关因子 风险和过程 LUNDBERG指数 破产概率 

分 类 号：O211.6[理学—概率论与数理统计]