两类相关索赔模型下破产概率的若干结果

研究了两类相关风险模型中生存概率φ(u)的问题,将其中一个风险由一个复合Poisson过程推广到了广义复合Poisson过程,求出了索赔额分布为指数分布时生存概率的明确表达式,并研究了此模型下索赔额分布重尾时,φ(u)的一个尾等价关系.

Some Results of Ruin Probabilities in a Correlated Claims Model

This paper is a further investigation into the problem of ruin probability in correlated aggregate claims model. We generalize one of the claims from a compound Poisson process to a generalized Poisson process. Explicit expressions are derived for the ultimate survival probabilities under the assumed model when the claim sizes are exponentially distributed, and a tail equivalence relationship of φ(u) is proved under the assumption that the claim size is heavy-tailed.