一类风险模型中的破产测度分析

Analysis of Ruin Measures in a Class of Risk Models

讨论了一类索赔到达为Cox过程的保险风险模型,建立了Gerber-Shiu折现罚函数所满足的积分—微分方程.当索赔量分布函数属于有理族时,得到了两状态模型中破产时间函数的显示解.

A Coxian arrival process risk model is discussed. An integro-differential equation for Gerber-Shiu expected discounted penalty function is derived. In the two-state model, explicit formulas for ruin time function are obtained when claim size distribution belongs to the rational family.