一类索赔相依二元风险模型下第n次索赔时的破产概率研究  

The Probability of Ruin at the n^(th) Claim with Correlative Claim in Dual Risk Modle

作　　者：田飞[1] 王传玉[1] 张大伟[1] 

机构地区：[1]安徽工程大学数理学院,安徽芜湖241000

出　　处：《盐城工学院学报（自然科学版）》2014年第2期11-15,33,共6页Journal of Yancheng Institute of Technology:Natural Science Edition

基　　金：国家自然科学基金项目(61203139);安徽省重点教研项目(2012jyxm277)

摘　　要：在一类索赔相依二元风险模型下推导出了Gerber-Shiu函数满足的更新方程,以及破产时刻和直到破产时刻的索赔次数的联合密度函数,得到了第n次索赔时的破产概率的表达式。For the dual risk model for correlative claim, we derive the renewal equation of the Gerber - Shiu function by construc- ting a peculiar Gerber - Shiu function, obtain the joint probability density function of the time to ruin and the number of claims until ruin, and find the formula of ruin probability when riun occurs at the time of the nth claim.

关 键 词：二元风险模型 索赔次数 LAPLACE变换 破产概率 

分 类 号：O211.9[理学—概率论与数理统计]