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带常利率的二维风险模型的破产概率（英文）

Ruin probabilities of a bidimensional risk model with constant interest rate
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摘要 在二维框架下,研究了两种类型的破产.当索赔分布是重尾分布时,对于这两种类型的破产,分别得到了生存概率满足的积分-微分方程,以及有限时间破产概率的明确的渐进表达式. We studied two types of ruin in the bidimensional framework.For each type of ruin,we derived an integro-differential equation for the survival probability,and an explicit asymptotic expression for the finite-time ruin probability when claim sizes have heavy tailed distributions.
作者 张媛媛 王文胜
机构地区 华东师范大学金融与统计学院 杭州师范大学数学系
出处 《华东师范大学学报（自然科学版）》 CAS CSCD 北大核心 2013年第6期22-31,共10页 Journal of East China Normal University(Natural Science)
基金 国家自然科学基金(11071076)
关键词 二维风险模型 生存概率 有限时间破产概率 bidimensional risk model survival probability finite-time ruin probability
分类号 O211 [理学—概率论与数理统计]
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参考文献15

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华东师范大学学报（自然科学版）
2013年 第6期

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