负二项(2)风险过程的破产概率

Ruin Probability for Negative Binomial(2)Risk Process

考虑了索赔发生的时间间隔为负二项(2)分布的离散时间风险模型,得出其无限时间生存概率的递推解和复合几何形式的显示解,并给出了当初值为0和1时它的具体表达式.最后计算得出索赔为几何分布时生存概率的具体形式.

In this paper, a risk process is considered, in which claim interarrival times have a negative binomial（2） distribution. Recursive solution and explicit solution of the infinite time survival probability are obtained. Specially, the survival probability from initial surplus zero and one are explicity calculated. At last, the explicit solution is calculated for the survival probability in the case that the individual claim amount distribution is geometric distribution.