| 黄玉洁,宋立新.具有两类相关风险的常利率风险过程破产函数[J].,2009,(1):147-151 |
| 具有两类相关风险的常利率风险过程破产函数 |
| Ruin functions for two-class of risk processes with a constant interest rate |
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| DOI：10.7511/dllgxb200901028 |
| 中文关键词: 盈余过程 相关集合索赔 破产函数 爱尔朗过程 |
| 英文关键词: surplus process correlated aggregate claims ruin function Erlang process |
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| 中文摘要: |
| 破产概率问题是经典风险理论研究中一个非常有意义的问题． 考虑了一类带常数利率的具有两类索赔风险的保险盈余过程． 在这个模型中,两类索赔的索赔次数 N 1(t)和\{N 2(t)\} 相关． 应用拉普拉斯变换的方法推导出了破产前瞬间盈余的分布函数、破产后瞬间盈余的分布函数、破产前后瞬间盈余的联合分布函数的显式结果, 还得到了初始盈余为零时的显式结果表达式． |
| 英文摘要: |
| One particularly interesting problem in classical risk theory is the ruin probability. A risk model of insurance with a constant interest rate is considered. In this model the two claim number processes, N 1(t) and N 2(t) are correlated. By Laplace transform method, the explicit results are derived for the distribution of the surplus immediately before ruin, for the distribution of the surplus immediately after ruin and the joint distribution of the surplus immediately before and after ruin. The explicit results of the initial surplus being zero are derived. |
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