摘要
介绍了2个具有相依关系的聚集索赔的风险模型,求出了模型的生存概率满足的积分微分方程,借助于林德伯格系数,获得了模型的生存概率满足的拉普拉斯变换及其初始盈余为零时的精确值的表达式.
It is consided that two correlated aggregate claims risk model. In this model the two claims number processes are correlated. We derive system of integro - differential equations of survival probability, and obtain Laplace transforms of survival probability and explicit results when the initial reserve is zero by the coefficient of Generalized Lundberg.
出处
《云南大学学报（自然科学版）》
CAS
CSCD
北大核心
2006年第1期16-19,26,共5页
Journal of Yunnan University(Natural Sciences Edition)
基金
国家自然科学基金资助项目(10271090)
关键词
相依的聚集索赔
生存概率
积分微分方程组
Erlang(2)过程
correlated aggregate claims
survival probability
system of integro-differential equations
Erlang （2） processes
