摘要
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.
出处
《应用概率统计》
CSCD
北大核心
2011年第5期449-459,共11页
Chinese Journal of Applied Probability and Statistics
基金
Supported by Research Fund for the Doctoral Program of Higher Education of China