具有交错指数分布风险模型的破产概率

Ruin Probability of the Risk Model that Has Alternating Exponential Distributions

考虑到一类风险过程的索赔计数过程是Poisson过程,个体索赔量具有交错指数分布,以此去寻找破产概率问题.假设盈余过程满足正安全负载条件,应用常微分方程的理论,推导保险公司最终破产概率的分析表达式,并给出实例说明.

This paper deals with the problem of finding the ruin probability of an insurance company in the risk model where the claim number process has poisson process and individual claim amounts have alternating exponential distributions.Assuming to satisfy the positive safety loading condition,an analytical expression for the ultimate ruin probability of an insurance company cab be derived using the ordinary differential equation theory, and illustration is given by examples.