经济数学2016，Vol.33Issue(2)：29-33,5.
带常利率和相依结构更新风险模型的破产概率
Ruin Probability in a Risk Model with Constant Interest Force and Dependence Structure
盖维丹1
作者信息
- 1. 辽宁师范大学数学学院，辽宁大连 116029
- 折叠
摘要
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 si‐zes ,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 .关键词
概率论/破产概率/调节系数方程/Sparre Andersen模型/相依结构Key words
probability theory/ruin probability/adjustment coefficient equation/Sparre Andersen model/dependence structure分类
数理科学引用本文复制引用
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,2016,33(2):29-33,5.
