一类双险种风险模型的赤字尾概率

Tail Probability of Deficit of Double Type-insurance Risk Model

考虑了一类常利率下保费复合随机过程的特殊双险种风险模型的赤字尾概率,利用递归方法导出了该模型下赤字尾分布的明确表达式及所满足的积分方程,研究结果推广了无利率的双险种风险模型的相应结论.

The tail probability of the deficit of a special double type-insurance risk model with constant interest rates whose premium was a compound stochastic process was researched. By the recursion method, the explicit expression and integral equation of the distribution of the tail probability of the deficit were derived. The result generalized the corresponding conclusions of the double type-insurance risk model without interest rate.