摘要
相依聚集索赔的风险模型是近年来为风险理论界所讨论的热门课题,通过构造带有干扰和固定投资的两个具有相依关系聚集索赔带随机保费的风险模型,利用鞅分析方法,求出了该模型的破产概率的精确表达式,从而得到破产概率所满足的林德伯格不等式.
Correlated aggregate claims risk model is a hot topic in the risk theory field at present. In this paper we consider two correlated aggregate claims risk model with random premium income and investment interest rates, which the policy premiums are random sequence. We derive the Lundberg inequality and its accurate expression of ruin probability by using martingale analysis.
出处
《合肥学院学报（自然科学版）》
2012年第4期8-10,共3页
Journal of Hefei University :Natural Sciences
关键词
相依的聚集索赔
破产概率
鞅
correlated aggregate claims
ruin probability
martingale
