带常利率和相依结构更新风险模型的破产概率
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引用本文:盖维丹.带常利率和相依结构更新风险模型的破产概率[J].经济数学,2016,(2):29-33
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作者单位
盖维丹 (辽宁师范大学 数学学院 ,辽宁 大连 116029) 
中文摘要:研究了一类具有常利率及相依结构的Sparre Andersen模型, 模型中假设理赔间隔时间决定下一次理赔额的分布情况. 对一般分布情形, 利用推广后的调节系数方程与递归更新技巧, 得到了此模型的最终破产概率上界的估计. 最后以理赔额和理赔间隔时间都服从指数分布的情况下的实例分析来说明该模型的有效性.
中文关键词:概率论  破产概率  调节系数方程  Sparre Andersen模型  相依结构
 
Ruin Probability in a Risk Model with Constant Interest Force and Dependence Structure
Abstract:We consider the Sparre Andersen model modified by the inclusion of constant interest force with a dependent setting where the time between two claim occurrences determines the distribution of the next size. And for the general claim sizes, the upper bound for the ultimate ruin probability is obtained by recursive techniques and adjustment coefficient equation in dependence environment. Finally, numerical experiments are presented to illustrate the validity of the model when the claim and interclaim time are exponential distribution.
keywords:probability theory  ruin probability  adjustment coefficient equation  Sparre Andersen model  dependence structure
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