| 相关带干扰风险模型的破产概率 |
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| 引用本文： | 顾培培,王过京.相关带干扰风险模型的破产概率[J].应用概率统计,2008,24(6):585-592. |
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| 作者姓名： | 顾培培 王过京 |
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| 作者单位： | 1. 金陵科技学院基础部,南京,210000
2. 苏州大学数学系,苏州,215006 |
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| 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.
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| 关 键 词： | 破产概率 Lundberg指数 布朗运动. |
Ruin Probability for Correlated Risk Process that is Perturbed by Diffusion |
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| GU PEIPEI,WANG GUOJING.Ruin Probability for Correlated Risk Process that is Perturbed by Diffusion[J].Chinese Journal of Applied Probability and Statisties,2008,24(6):585-592. |
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| Authors: | GU PEIPEI WANG GUOJING |
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| Institution: | Department of Mathematics;Jinling Institute of Technology;Nanjing;210000;Department of Mathematics;Suzhou University;Suzhou;215006 |
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| Abstract: | 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. |
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| Keywords: | Ruin probability Lundberg exponent Brownian motion |
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