Erlang(n)风险模型下破产时和破产前索赔次数的联合密度(英文)  

On the Joint Density of the Time to Ruin and the Number of Claims Until Ruin in Erlang(n) Risk Model

作　　者：李彦红[1] 赵春明[1] 

机构地区：[1]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）》2015年第2期19-30,共12页Acta Scientiarum Naturalium Universitatis Nankaiensis

基　　金：Supported by National Natural Science Foundation of China(11171164,11271385,11371020);the FP7 Grant PIRSES-GA-2012-318984

摘　　要：研究了Erlang(n)风险模型下当索赔服从无穷可分分布时破产时和破产前索赔次数的联合密度表达式,并利用2个例子来加以说明.例1考虑了古典模型,得出的结论与Dickson(2012)一致,验证了本文方法的正确性.例2考虑了Erlang(2)模型下索赔服从Gamma分布的联合密度,说明了本文的新应用.An explicit expression is derived for the joint density of the time to ruin and the number of claims until ruin in the Erlang （n） risk model with individual claims which are infinitely divisible distributed. Two ex- amples are provided. The first example is on the classical risk model for which the obtained result is consistent with Dickson. the second example is on a Erlang（2） risk model with Gamma distributed claims.

关 键 词：Erlang(n)风险模型 破产前索赔次数 破产时 无穷可分分布 

分 类 号：O211.6[理学—概率论与数理统计]