摘要
Schmitter问题是指在期望和方差固定的条件下,求出使得破产概率最大(小)的索赔分布.F.De Vylder讨论了古典风险模型的情况.本文讨论了更新风险模型的情况,推广了其结果.
The problem posed by Schmitter was to maximize the ruin probability when mean and variance of the claim size distribution axe given. The case in classical risk model are discussed by F. De Vylder in 1997. In this paper, we discuss the case in renewal risk model.
出处
《应用概率统计》
CSCD
北大核心
2003年第1期40-48,共9页
Chinese Journal of Applied Probability and Statistics
基金
This work is supported by the National Science Foundation of China (19971047).
