摘要
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.
出处
《天津师范大学学报(自然科学版)》
CAS
2016年第3期13-15,58,共4页
Journal of Tianjin Normal University:Natural Science Edition
基金
国家自然科学基金资助项目(11401436)
关键词
经典风险模型
伽马分布
罚金函数
Lundberg基本方程
破产概率
期望贴现罚金函数
classical risk model
Gamma distribution
penalty function
Lundberg's Fundamental equation
ruin proba-bility
expected discounted penalty function