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| 相关风险和模型的破产概率 | |
| 引用本文： | 王刈禾,刘艳,陈晓坤. 相关风险和模型的破产概率[J]. 数学杂志, 2007, 27(6): 731-734 |
| 作者姓名： | 王刈禾 刘艳 陈晓坤 |
| 作者单位： | 1. 襄樊学院数学系,湖北襄樊,441003 2. 武汉大学数学与统计学院,湖北武汉,430072 3. 华中农业大学理学院,湖北武汉,430070 |
| 摘 要： | 本文研究了两险种理赔到达过程相关的正风险和模型与负风险和模型.利用Lundberg指数是相关因子的单调递减函数的性质,证明了破产概率是随着相关因子的增加而增大的,从而将相应的结果推广到了两险种理赔到达过程相关的风险和模型. |
| 关 键 词： | 相关因子 风险和过程 Lundberg指数 破产概率 |
| 文章编号： | 0255-7797（2007）06-0731-04 |
| 修稿时间： | 2005-04-08 |
RUIN PROBABILITY FOR THE RISK PROCESS WITH CORRELATED RISK SUMS |
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| WANG Yi-he,LIU Yan,CHEG Xiao-kun. RUIN PROBABILITY FOR THE RISK PROCESS WITH CORRELATED RISK SUMS[J]. Journal of Mathematics, 2007, 27(6): 731-734 | |
| Authors: | WANG Yi-he LIU Yan CHEG Xiao-kun |
| Affiliation: | 1. Dept. of Math, Xiangfan University, Xiangfan 441003, China;2. School of Math. and Statistics, Wuhan University, Wuhan 430072, China;3. School of Sciences, Huazhong Agricultural University, Wuhan 430070, China |
| Abstract: | In this paper,we consider the correlated aggregate risk processes with positive and negative risk sums and two classes of claims.We prove that the ruin probability increases when the correlation factor becomes larger by applying the property that Lundberg exponent is an decreasing function of correlation factor.Therefore,the corresponding results so far are generalized to the correlated aggregate risk processes with two classes of claims. |
| Keywords: | correlation factor risk sum Lundberg exponent ruin probability. |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |