相关带干扰风险模型的破产概率  

Ruin Probability for Correlated Risk Process that is Perturbed by Diffusion

作　　者：顾培培[1] 王过京[2] 

机构地区：[1]金陵科技学院基础部,南京210000 [2]苏州大学数学系,苏州215006

出　　处：《应用概率统计》2008年第6期585-592,共8页Chinese Journal of Applied Probability and Statistics

基　　金：国家自然科学基金(10571132)资助项目

摘　　要：本文引进了含相关类带干扰经典风险过程,研究类之间的相关性对破产概率的影响,主要研究类之间的相关性对其Lundberg指数的大小关系的影响.In this paper,we introduce a correlated risk process that is perturbed by diffusion with common shock.We study how the dependence between the classes impacts on the ruin probability.We do this mainly by comparing the influences of the dependence on the sizes of the Lundberg exponents of the risk processes.

关 键 词：破产概率 LUNDBERG指数 布朗运动 

分 类 号：O211.67[理学—概率论与数理统计]