一类索赔服从位相分布的风险模型破产问题

The Ruin Problem on a Kind of Risk Model with Phase-Type Claims

假设经典风险模型中索赔服从位相分布,利用索赔时刻的盈余与净收入之间的关系及位相分布的性质,得到风险过程中第n次索赔时的破产概率递推公式并通过例题说明求解过程.

In the classical risk model, if the claims follow the phase - type distribution, a recursion formula for the ruin probability of n - the claim is obtained by the relation between reserve and increment as well as the properties of phase- type distributions, finally a example is given to illustrate the solving process.