关于复合二项模型导致破产的索赔额分布

On the Distribution of the Amount of the Claim Causing Ruin for the Compound Binomial Risk Model

对于复合二项风险模型,文中首先给出Cerber-Shiu贴现惩罚函数所满足的瑕疵更新方程的解。通过选择适当的惩罚函数,给出了导致破产的索赔量分布函数的具体表达式。

For the compound binomial risk model, the paper derives a solution to the defective renewal equation satisfied by the Gerber-Shiu discounted penalty function. Then the paper gives explicit expressions for the distribution function of the amount of the claim causing ruin through selecting proper penalty function.