| Sparre Andersen风险模型的破产问题(英) |
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| 引用本文： | 赵翔华,尹传存. Sparre Andersen风险模型的破产问题(英)[J]. 应用概率统计, 2005, 21(4): 431-442 |
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| 作者姓名： | 赵翔华 尹传存 |
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| 作者单位： | 曲阜师范大学数学系,曲阜,273165 |
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| 基金项目： | Research supported by the National Natural Science Foundation of China(No．10471076)the Natural Science Foundation of Shandong(No．Y2004A06)． |
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| 摘 要： | 本文主要研究了一类Sparre Andersen模型,其索赔时间间隔的分布为指数分布与Erlang(n) 分布的混合.得到了当初始资金u趋于无穷大时,破产概率ψ(u)的确切表达式和渐近表达式.
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| 关 键 词： | Sparre Andersen风险模型 破产概率 S族. |
| 修稿时间： | 2004-12-31 |
Ruin Problems for a Sparre Andersen Risk Model |
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| ZHAO XIANGHUA,YIN CHUANCUN. Ruin Problems for a Sparre Andersen Risk Model[J]. Chinese Journal of Applied Probability and Statisties, 2005, 21(4): 431-442 |
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| Authors: | ZHAO XIANGHUA YIN CHUANCUN |
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| Abstract: | In this paper, we consider a Sparre Andersen risk model in which the claim inter-arrival distribution is a mixture of an exponential distribution and an Erlang(n) distribution. We discuss the exact and the asymptotic behavior of the ruin probability under this risk model as the initial capital u tends to infinity. |
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| Keywords: | Sparre Andersen model ruin probability the class S. |
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