标题:
具有相关理赔的二元负风险和模型的破产概率Ruin Probabilities for a Double Type-insurance Risk Model with Negative Risk Sums
作者:
邹娓, 谢杰华
关键字:
相关, 负风险和, 破产概率Correlated Aggregate Claims; Negative Risk Sums; Ruin Probability
期刊名称:
《Finance》, Vol.1 No.2, 2011-07-26
摘要:
本文研究了一类“理赔”计数过程相关的二元负风险和模型，给出了此模型破产概率所满足的积分-微分方程及其解析表达式，并将此模型的破产概率和经典负风险模型的破产概率进行了比较，对具体实例给出了数值比较结果。本文所得结果推广了经典负风险和模型的相应结果。
In this paper，we consider a double type-insurance risk model with negative risk sums. Correlation may exist among the two“claims”number process. We derive the integro-differential equation and the explicit expression for the ruin probablities.We also compare the ruin probabilities of this risk model with classical negative risk sums model and give the numerial illustration. The results obtained generalize the classical neg-tive risk sums model.