一类索赔相依二元风险模型下第n次索赔时的破产概率研究

The Probability of Ruin at the n^(th) Claim with Correlative Claim in Dual Risk Modle

在一类索赔相依二元风险模型下推导出了Gerber-Shiu函数满足的更新方程,以及破产时刻和直到破产时刻的索赔次数的联合密度函数,得到了第n次索赔时的破产概率的表达式。

For the dual risk model for correlative claim, we derive the renewal equation of the Gerber - Shiu function by construc- ting a peculiar Gerber - Shiu function, obtain the joint probability density function of the time to ruin and the number of claims until ruin, and find the formula of ruin probability when riun occurs at the time of the nth claim.