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常利率下相依复合泊松风险模型的破产概率 被引量：1

Ruin probability in a dependent compound Poisson risk model with a constant interest rate
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摘要 研究具有相依索赔及常利率的复合泊松风险模型,模型中假设理赔间隔时间与随后的理赔数额具有特殊相依结构.利用递归更新方法,得到此模型下最终破产概率的指数型上界估计. Researched on the compound Poisson risk model with dependent claims and constant interest force, in which it assumes that a particular dependence structure among the interclaim time and the subsequent claim size in the model. Obtained the exponential type upper bounds estimation for the ultimate ruin probability by recursive techniques.
作者 盖维丹
机构地区 辽宁师范大学数学学院
出处 《高师理科学刊》 2016年第2期22-25,共4页 Journal of Science of Teachers＇College and University
关键词 复合泊松分布风险模型 相依结构 利息强度 破产概率 compound Poisson risk model dependent structure force of interest ruin probability
分类号 O211.4 [理学—概率论与数理统计] F224 [经济管理—国民经济]
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参考文献8

  • 1Cai Jun,David C,Dickson M.Upper bounds for ultimate ruin probabilities in the Sparre Anderson model with interest[J].Insurance:Mathematics and Economics,2003,32:61-71.
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  • 3房莹,吴荣.ON THE RENEWAL RISK MODEL WITH INTEREST AND DIVIDEND[J].Acta Mathematica Scientia,2010,30(5):1730-1738. 被引量：3
  • 4吴传菊,王成健.常利率下复合泊松-更新风险模型的破产问题[J].数学杂志,2014,34(2):309-318. 被引量：3
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二级参考文献26

  • 1Asmussen S. Ruin Probabilities. Singapore: World Scientific, 2000.
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高师理科学刊
2016年 第2期

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