常利率下索赔相依风险模型的破产赤字

The Deficit at Ruin in a Risk Model with Dependent Claims and Constant Interest Rate

研究了常利率下具有相依索赔结构的Sparre Andersen风险模型的破产问题,其中理赔间隔时间与随后的理赔数额具有特殊相依结构.利用递归方法,得到该模型破产赤字分布的上界估计,并且考察了参数为指数函数的例子,加深对定理中破产赤字上界的了解.

Under the constant interest rate, we studied the Sparre Andersen risk model with dependent claims, assuming a particular dependence structure among the interclaim time and the subsequent claim size . By recursive techniques, an upper bound for the deficit distribution at ruin in the model was given. Supposing that the parameters are exponential, we can much more understand the upper bound for the deficit distribution.