两类风险过程破产概率的比较

Comparison of Ruin Probabilities for Two Different Risk Process

本文考虑含两个类的风险模型,先讨论类之间的相关性对保费计算的影响,然后引进两个不同的风险过程,我们比较这两个不同模型的破产概率,主要比较它们的Lundberg指数的大小,并对指数理赔分布的情形给出数值结果.

In this paper we consider the risk processes with two classes of business. We frist study how the dependence between the classes of business influence on calculation of the premium. We then introduce two difference risk processes. We compase ruin probabilities of these two models. We do this minly by comparing the Lundberg exponents for them. Finally we give an example with claim sizes being exponentinally distributed to show the numerical results.