Erlang(2)更新过程风险模型的破产概率

Ruin Probability of Risk Model for Erlang(2) Renewal Proceses

本文考虑一类风险模型,其索赔时间间隔是Erlang(2)流,个体索赔量是独立同分布的随机变量,我们寻找最 终破产概率问题。应用微积分方程推导破产概率的Laplace变换表达式。假设满足指数索赔量分布时,推导 出最终破产概率的表达式,并给出实例说明。

This paper considers the problem of finding the ruin probability of an insurance company in the risk model where the claim number process have Erlang(2) process and claim amounts have independent identically distribution. Laplace transform exparessions for the ultimate ruin probability can be derived suing the differentio - integral equation. When the claim amounts have exponential distributions, exparessions for theultimate ruin probability can be derived and illustration it by example.