| 一类索赔相依二元风险模型的破产概率问题研究 |
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| 引用本文： | 张冕,高珊.一类索赔相依二元风险模型的破产概率问题研究[J].经济数学,2008,25(2). |
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| 作者姓名： | 张冕 高珊 |
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| 作者单位： | 阜阳师范学院数学系,安徽阜阳,236032 |
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| 基金项目： | 安徽省高校省级教学研究项目，安徽省高校青年教师科研资助计划项目 |
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| 摘 要： | 考虑一种相依索赔风险模型,模型中假设每次主索赔可随机产生一延迟的副索赔,采用Laplacc变换方法,给出了索赔额服从轻尾分布时的最终破产概率,并研究了重尾分布时最终破产概率的渐进式.
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| 关 键 词： | 风险模型 破产概率 相依索赔 Laplacc变换 |
RUIN PROBABILITY WITH TIME-CORRELATED CLAIMS |
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| Zhang Mian,Gao Shan.RUIN PROBABILITY WITH TIME-CORRELATED CLAIMS[J].Mathematics in Economics,2008,25(2). |
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| Authors: | Zhang Mian Gao Shan |
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| Institution: | Zhang Mian,Gao Shan (Department of Mathematice,Fuyang Normal College,Fuyang,236032) |
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| Abstract: | In this paper we consider a risk model with time-correlated claims,in which every claim can produce a delayed by-claim randomly.By means of the Laplace transform,the ruin probability of the risk model is obtained when the claim size is light-tailed.The upper and lower limit bounds of the ruin probability are also studied when the claim size is heavy-tailed. |
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| Keywords: | Risk model ruin probability time-correlated claims Laplace transform |
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