一类相依索赔离散风险模型研究  

Study on the discrete-time model of a correlated claims risk model

作　　者：王文波[1] 王慧丽[2] 殷春武[1] 

机构地区：[1]西京学院基础部,陕西西安710123 [2]西北工业大学自动化学院,陕西西安710072

出　　处：《纯粹数学与应用数学》2008年第2期388-395,共8页Pure and Applied Mathematics

摘　　要：研究了一类相依索赔的离散风险模型,得到了利率为0时模型的最终破产概率所满足的积分方程,以及破产持续n期的概率所满足的表达式.进而,得到了利率不为0时该模型的最终破产概率所满足的积分方程,并利用鞅论技巧导出了最终破产概率的一个Lundberg型上界,最后运用Matlab软件随机模拟破产概率并与Lundberg型上界作比较.The authors consider a class of discrete-time risk model with a Markov chain interest, in which every main claim can generalize a by-claim if the amount of the main claim is larger than M. Firstly, An integral equation satisfied by survival probability is obtained, when In= 0（n=0, 1, 2,……）.When In≠ 0, the authors prove that the ruin probability ψ（u, is） fulfils an integral equation, and derive a Lundberg inequation by means of the martingale approach.

关 键 词：离散风险模型 主索赔 副索赔 破产概率 

分 类 号：O211.6[理学—概率论与数理统计] F840[理学—数学]