| ON THE RUIN FUNCTIONS FOR A CORRELATED AGGREGATE CLAIMS MODEL WITH POISSON AND ERLANG RISK PROCESSES |
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| 作者姓名： | 刘艳 杨文权 胡亦钧 |
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| 作者单位： | School of Mathematics and Statistics Wuhan University Wuhan 430072，China，School of Mathematics and Statistics Wuhan University，Wuhan 430072，China，School of Mathematics and Statistics Wuhan University，Wuhan 430072，China |
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| 基金项目： | This work was supported in part by the National Natural Science Foundation of China (10071058, 70273029)
the Ministry of Education of China. |
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| 摘 要： | This article considers a risk model as in Yuen et al. (2002). Under this model the two claim number processes are correlated. Claim occurrence of both classes relate to Poisson and Erlang processes. The formulae is 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 asymptotic property of these ruin functions is also investigated.
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| 关 键 词： | 毁灭函数 Poisson方法 Erlang方法 数学分析 |
| 收稿时间： | 2004-05-03 |
| 修稿时间： | 2004-05-13 |
ON THE RUIN FUNCTIONS FOR A CORRELATED AGGREGATE CLAIMS MODEL WITH POISSON AND ERLANG RISK PROCESSES |
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| Liu Yan,Yang Wenquan,Hu Yijun.ON THE RUIN FUNCTIONS FOR A CORRELATED AGGREGATE CLAIMS MODEL WITH POISSON AND ERLANG RISK PROCESSES[J].Acta Mathematica Scientia,2006,26(2):321-330. |
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| Authors: | Liu Yan Yang Wenquan Hu Yijun |
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| Abstract: | This article considers a risk model as in Yuen et al. (2002). Under this model the two claim number processes are correlated. Claim occurrence of both classes relate to Poisson and Erlang processes. The formulae is 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 asymptotic property of these ruin functions is also investigated. |
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| Keywords: | Correlated aggregate claims Poisson process Erlang process ruin functions |
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