索赔次数服从负二项分布的破产概率(英文)

Ruin Probability for the Risk Model with Claim Numbers in Negative Binomial Distribution

将经典风险理论中的复合泊松模型调整为复合负二项模型,考虑索赔次数服从负二项分布的情况,得到初始资本为u的破产概率表达式.并以索赔额服从指数分布为例,给出破产概率的近似解.

The classical compound Poisson risk model is replaced by the compound negative binomial risk model, in which the number of claims has a negative binomial distribution.Based on this model, the ruin proba- bility for the initial reserve u≥0is obtained.At last, an example is given that the claim amounts are exponentially distributed, and the approximate solution for the ruin probability is derived.