摘要
将经典的复合二项风险模型进行推广,研究具有两类相关索赔的复合二项风险模型.利用概率母函数方法得出了风险模型有限时间生存概率的递推式,并在某些特殊情况下得到了最终破产概率的精确表达式,所得结果推广了经典复合二项风险模型的相应结果.
Ruin probabilities in a kind of compound binomial risk model are studied in this paper. This risk model is a generalization of classical compound binomial risk models in which two correlated claims are considered. Recursive formulas for the finite time survival probabilities are obtained and explicit expressions of ultimate ruin probability are given in two special cases. The results obtained generalize the classical compound binomial risk model.
出处
《南昌工程学院学报》
CAS
2008年第4期15-18,共4页
Journal of Nanchang Institute of Technology
基金
南昌工程学院青年基金项目(2008KJ024)
关键词
破产概率
概率母函数
复合二项风险模型
相关索赔
ruin probability
probability generating function
compound binomial risk model
correlated claim
作者简介
谢杰华（1982-），男，硕士．
