一阶自回归理赔量的风险模型

A Risk Model of Claims Obeying First-Order Autoregressive Process

随着保险经营业务的不断扩大、创新,描述其风险的模型也越来越多,但它们大都基于理赔量相互独立的基础之上。通过理赔量具有相关性的复合Poisson过程的研究,得到破产概率■(u,w)的具体表达式及特定条件下被推广的"伦德伯格不等式"。

With the development of the insurance management business, the models describing risks increased rapidly. But all claims are independent in those models. This paper discusses the compound poisson process of related claims. We yield the expression type and＂the lundberg inequality＂.