常利率下索赔相依风险模型的破产赤字
    点此下载全文
引用本文:盖维丹.常利率下索赔相依风险模型的破产赤字[J].经济数学,2016,(4):101-104
摘要点击次数: 246
全文下载次数: 7
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.
中文关键词:概率论  赤字分布  递归方法  Sparre Andersen模型  相依结构
 
The Deficit at Ruin in a Risk Model with Dependent Claims and Constant Interest Rate
Abstract: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.
keywords:probability theory  deficit distribution  recursive techniques  Sparre Andersen model  dependence structure
查看全文   查看/发表评论   下载pdf阅读器