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带干扰更新风险模型的有限时间破产概率

Finite-time Ruin Probability for the Jump-diffusion Renewal Risk Model
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摘要 讨论了一个带干扰更新风险模型的有限时间破产概率问题.在假设索赔额服从次指数分布,利率为常数的情况下,得到一个关于有限时间破产概率的近似表达式,并将此结论与利率为0时进行了对比. In this paper, the finite-time ruin probability for the jump-diffusion renewal process is considered. Under the assumptions that the claim-sizes are sub-exponentially distributed and that the interest force is constant, an asymptotic formula for the finite-time ruin probability is Obtained. Then the result is contrasted with the situation when the interest force is 0.
作者 侯丽娟 梁凤鸣
机构地区 泰山学院图书馆 泰山学院学报编辑部
出处 《曲阜师范大学学报（自然科学版）》 CAS 2009年第2期39-42,共4页 Journal of Qufu Normal University(Natural Science)
关键词 次指数分布 带扰动更新风险模型 常利率 ERV Matuszewska指标 subexponential class jump-diffusion renewal process constant interest force ERV Matuszewska index
分类号 O211.9 [理学—概率论与数理统计]
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曲阜师范大学学报（自然科学版）
2009年 第2期

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