一类相依索赔风险模型的破产概率问题研究

Study on the Ruin Probability of a Correlated Claims Risk Model

考虑一种相依索赔风险模型,其中每次索赔发生时根据索赔额的大小可随机产生一延迟的副索赔.采用L ap lace变换方法,给出了索赔额服从轻尾分布时的最终破产概率,并研究了重尾分布时最终破产概率的极限上下界.

Considering a risk model with time-correlated claims, in which every claim can produce a delayed by-claim randomly according to the amount of it. By means of the Laplace transform, the ruin probability of the risk model is obtained when the claim size is light-tailed. The upper and lower limit bounds of the ruin probability are also studied when the claim size is heavy-tailed.