常利率下理赔额和理赔间隔相依的风险模型
risk model with dependence between claim sizes and claim intervals with constant interest
本文在常利率下，考虑理赔间隔时间决定下一次理赔额的相依风险模型。当理赔额服从指数型分布时，得到了生存概率的具体表达式。并对一般分布情形，得到破产概率上界。
We consider a model with a dependentsetting where the time between two claim occurrences determines the distribution of the nest claim size with constant interest. We derive the exact expression of the survival probability for the exponentially distributed claim sizes. For the general claim sizes, the upper bound of the ruin probability is obtained.
牛明飞、谷蕊
数学
常利率风险模型相依破产概率生存概率Laplace变换
constant interestrisk modeldependenceruin probability of survivalLaplace transform
牛明飞,谷蕊.常利率下理赔额和理赔间隔相依的风险模型[EB/OL].(2008-09-23)[2025-08-19].http://www.paper.edu.cn/releasepaper/content/200809-641.点此复制
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