杨善兵, 房厚庆. 两相依聚集索赔风险模型的生存概率[J]. 云南大学学报(自然科学版), 2006, 28(1): 16-19,26.
引用本文: 杨善兵, 房厚庆. 两相依聚集索赔风险模型的生存概率[J]. 云南大学学报(自然科学版), 2006, 28(1): 16-19,26.
YANG Shan-bing, FANG Hou-qing. Survival probability of two correlated aggregate claims risk model[J]. Journal of Yunnan University: Natural Sciences Edition, 2006, 28(1): 16-19,26.
Citation: YANG Shan-bing, FANG Hou-qing. Survival probability of two correlated aggregate claims risk model[J]. Journal of Yunnan University: Natural Sciences Edition, 2006, 28(1): 16-19,26.

两相依聚集索赔风险模型的生存概率

Survival probability of two correlated aggregate claims risk model

  • 摘要: 介绍了2个具有相依关系的聚集索赔的风险模型,求出了模型的生存概率满足的积分微分方程,借助于林德伯格系数,获得了模型的生存概率满足的拉普拉斯变换及其初始盈余为零时的精确值的表达式.

     

    Abstract: It is consided that two correlated aggregate claims risk model.In this model the two claims number processes are correlated.We derive system of integro-differential equations of survival probability,and obtain Laplace transforms of survival probability and explicit results when the initial reserve is zero by the coefficient of Generalized Lundberg.

     

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