一类具有时间相依索赔风险模型的破产概率  

Ruin probabilities of a risk model with time-correlated claims

作　　者：谢杰华[1] 邹娓[1] 

机构地区：[1]南昌工程学院理学系,南昌330099

出　　处：《中国科学院研究生院学报》2008年第3期313-319,共7页Journal of the Graduate School of the Chinese Academy of Sciences

基　　金：南昌工程学院青年基金项目(2006KJ035)资助

摘　　要：考虑了一类具有时间相依索赔的风险模型,模型中包含了2种索赔:主索赔和由它引起的副索赔,并且副索赔可能推迟发生.利用Laplace变换方法,得到了该风险模型破产概率的计算公式,并在索赔额为指数分布的情形下,得到了破产概率所满足的微分方程,给出了破产概率的精确表达式.Ruin Probabilities of a risk model with time-correlated claims are studied in this paper. It is assumed that every main claim may produce a by-claim and the occurrence of the by-claim may be delayed. By means of the Laplace tansform, the ruin probabilities of the risk model are obtained. The differential equations of the ruin probabilities are obtained and the explicit expressions of the ruin probabilities are given when the claim sizes are exponentially distributed.

关 键 词：风险模型 破产概率 LAPLACE变换 时间相依索赔 

分 类 号：O211.9[理学—概率论与数理统计] F840[理学—数学]