Andersen风险模型下破产概率对理赔间隔的相依性

The Dependence of the Probabilities of Ruin on the Interclaims Distribution under the Andersen Risk Model

破产概率及其相关的Lundberg指数 (也称调节系数AdjustmentCoefficient)是一个重要的经营安全性的测度 ,是衡量保险公司偿付能力的主要指标之一。著名的“Cram啨ｒ Lundberg近似”结果和Lundberg不等式表明破产概率可通过Lundberg指数来近似计算或估计。该文式图通过计算Lundberg指数来阐明在Andersen风险模型下破产概率对理赔间隔分布的相依性。

The ruin probabilities and related Lundberg exponent (Adjustment Coefficient) are two important measures for safety, which are also two main indices to measure the payment ability of insurance company. The famous 'Cramer Lundberg' approximation and Lundberg inequality illustrate that the ruin probabilities can be computed and estimated approximately by Lundberg exponent. In this paper, the dependence of the probabilities of ruin on the interclaims distribtuion is illustrated by computing Lundberg exponent under the Andersen risk model.