浙江大学学报（理学版）2013，Vol.40Issue(4)：401-405,5.DOI:10.3785/j.issn.1008-9497.2013.04.009
Sparre Andersen风险模型破产时刻和破产赤字的联合密度函数
The joint density of the time to ruin and the deficit at ruin for a Sparre Andersen risk model
摘要
Abstract
The ordinary renewal risk model and derive expressions for the density of the time to ruin are considered when the individual claim amount distribution is an exponential distribution.The derivation is based on Kendall's identity.Then by using probabilistic argument,an expression for joint density of the time to ruin and the deficit at ruinfor the delayed renewal risk model and the ordinary renewal risk model are obtained.Finally the results in the cases of Erlang(2) inter-claim time are illustrated.关键词
Kendall等式/破产时刻/破产赤字/Erlang(2)分布/联合密度函数Key words
Kendall's identity/ the time to ruin/ the deficit at ruin/ Erlang(2) distribution/ joint density function分类
数理科学引用本文复制引用
徐怀,唐玲..Sparre Andersen风险模型破产时刻和破产赤字的联合密度函数[J].浙江大学学报（理学版）,2013,40(4):401-405,5.基金项目
数学天元基金(No.11226207). （No.11226207）
