二元复合Poisson风险模型的几个结果(英文)

Some Results on Bivariate Compound Poisson Risk Model

本文研究具有相依关系的一类风险模型.得到了由不同类别的索赔产生的破产时赤字分布的渐近结果以及指数索赔下的精确结果.同时研究了带伽玛过程干扰的古典风险过程.

In this paper we consider a risk model with two correlated classes of insurance business. Asymptotic results for the deficit at ruin caused by different classes of insurance business are obtained. Explicit expression for the deficit at ruin caused by different classes of insurance business are given when the original claim size random variables are exponentially distributed. In addition we also give a brief discussion on the classical risk model perturbed by the Gamma process.