常利率下相依复合泊松风险模型的破产概率  

Ruin probability in a dependent compound Poisson risk model with a constant interest rate

作　　者：盖维丹 

机构地区：[1]辽宁师范大学数学学院,辽宁大连116029

出　　处：《高师理科学刊》2016年第2期22-25,共4页Journal of Science of Teachers＇College and University

摘　　要：研究具有相依索赔及常利率的复合泊松风险模型,模型中假设理赔间隔时间与随后的理赔数额具有特殊相依结构.利用递归更新方法,得到此模型下最终破产概率的指数型上界估计.Researched on the compound Poisson risk model with dependent claims and constant interest force, in which it assumes that a particular dependence structure among the interclaim time and the subsequent claim size in the model. Obtained the exponential type upper bounds estimation for the ultimate ruin probability by recursive techniques.

关 键 词：复合泊松分布风险模型 相依结构 利息强度 破产概率 

分 类 号：O211.4[理学—概率论与数理统计] F224[理学—数学]