索赔服从伽马分布的经典风险模型的破产概率

Ruin probability with Gamma claim in classical risk model

针对连续时间的经典风险模型,当索赔变量服从伽马分布时,根据对Lundberg基本方程的求解,得到了罚金函数为指数形式的期望贴现罚金函数的表达式,从而得出了相应的破产概率.

For the classical risk model of continuous time, the expression of expected discounted penalty function is given on the basis of Lundberg＇s Fundamental equation, when the penalty function is certain exponential form and claim variable is Gamma distribution. The ruin probability is obtained correspondingly.