一类相关类负风险和风险过程的破产概率  

Ruin Probability for a Correlated Risk Process with Negative Risk Sums

作　　者：孙红梅[1] 张春生[2] 王过京[1] 

机构地区：[1]苏州大学数学系,江苏苏州215006 [2]南开大学数学科学学院,天津300071

出　　处：《南开大学学报（自然科学版）》2007年第5期53-56,共4页Acta Scientiarum Naturalium Universitatis Nankaiensis

基　　金：国家自然科学基金(10571132)

摘　　要：引入一类相关负风险和风险过程,负风险和类之间的相关性定义为稀疏相关结构,主要研究类之间的相关性对破产概率的影响.In this paper, a correlated risk model with negative risk sums is considered. The correlation between the two classes of business is defined as the thinning dependence structure and how the dependence between the two classes impacts on the ruin probability is investigated.

关 键 词：LUNDBERG指数 负风险和 破产概率 稀疏相关结构 

分 类 号：O211.6[理学—概率论与数理统计]