一类带有常利率和相依结构Sparre Andersen模型的赤字分布

Deficit Distribution in a Sparre Andersen Model with Constant Interest Force and Dependence Structure

文章对常利率下的一类具有相依索赔的Sparre Andersen风险模型进行了研究,其中,相依结构为理赔间隔时间决定下一次理赔额分布,利用递归方法,得到破产赤字分布的函数型上界不等式、下界估计及相关推论。

Under the constant interest rate, we studied the Sparre Andersen risk model with dependent claims,which it assumes that a dependent setting where the time between two claim occurrences determines the distribution of the next size.By recursive techniques,a functional upper bound inequality and a lower bound for the deficit distribution at ruin and related generalizations in the model were given.