具有相关索赔风险模型的破产概率

Ruin probabilities for a Risk Model with Dependent Classes of Insurance Business

本文考虑了具有两类索赔的风险模型,这两类索赔的计数过程是相关的Poisson过程和Erlang过程.通过Laplace变换方法,得到了该风险模型在索赔颠为任意分布情形下破产概率的计算公式,并在索赔额为指数分布的情形下,得到了破产概率的精确表达式.

In this paper we consider a risk model with two dependent classes of insurance business. We discuss the risk process generated from the assumed model when the two claim number processes are dependent Poisson-Erlang processes. By means of the Laplace transform, we derive the general solutions to the ruin probabilities for the risk processes when the claim sizes are arbitrarily distributed. The explicit expressions of the ruin probabilities are given when the claim sizes are exponentially distributed.