一类索赔相关且带干扰的风险模型

该文讨论了索赔时间间隔与索赔量相关且带干扰的风险模型. 借助拉普拉斯变换研究了此模型的破产时刻、破产前瞬间盈余及破产时赤字三者的联合分布,得到了此联合分布拉普拉斯变换的一个分析表达式并讨论了当初始盈余值趋于无穷大时,此联合分布的渐近表达式.

A Jump-diffusion Risk Model with Dependence |between Claim Sizes and Claim Intervals

Using Laplace transform, the paper studies the joint distribution of the time of ruin, the surplus prior to ruin and the deficit at ruin for the jump-diffusion model with a dependent setting, where the claim inter-occurrence times depend on the previous claim size. Exact analytical expressions for the Laplace transform of the joint distribution are derived. The asymptotic behavior of the joint distribution as the initial capital tends to infinity is discussed.