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相依索赔Poisson风险模型的Cramer-Lundberg逼近(英文)
引用本文:周丽.相依索赔Poisson风险模型的Cramer-Lundberg逼近(英文)[J].数学杂志,2010,30(3).
作者姓名:周丽
作者单位:韶关学院数学与信息科学学院,广东,韶关,512005
摘    要:本文考虑一类具有相依索赔的Poisson风险模型.利用无穷小方法,得到了破产概率的Cramer-Lundberg逼近及其精确表达式.

关 键 词:相依索赔  破产概率  Cramer-Lundberg逼近

THE CRAMER-LUNDBERG APPROXIMATION FOR A CORRELATED AGGREGATE CLAIMS WITH POISSON RISK PROCESSES
ZHOU Li.THE CRAMER-LUNDBERG APPROXIMATION FOR A CORRELATED AGGREGATE CLAIMS WITH POISSON RISK PROCESSES[J].Journal of Mathematics,2010,30(3).
Authors:ZHOU Li
Institution:ZHOU Li (College of Math., Information Science,Shaoguan University,Shaoguan 512005,China)
Abstract:We consider a risk model with two dependent classes of insurance business.By using the infinitesimal method,we obtain the Cramer-Lundberg approximation for the ruin probability for this special risk process with general claim size distributions and its explicit expression.
Keywords:correlated aggregate claims  ruin probability  Cramer-Lundberg approximation
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