| 两相依聚集索赔风险模型的生存概率 |
| |
| 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):16-20. |
| |
| 作者姓名： | 杨善兵 房厚庆 |
| |
| 作者单位： | 1. 南京航空航天大学,理学院,江苏,南京,210016;盐城工学院,基础部,江苏,盐城,224003
2. 江苏大学,理学院,江苏,镇江,212013 |
| |
| 基金项目： | 国家自然科学基金资助项目(10271090) |
| |
| 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.
|
| 关 键 词： | 相依的聚集索赔 生存概率 积分微分方程组 Erlang(2)过程 |
| 文章编号： | 0258-7971(2006)01-0016-04 |
| 修稿时间： | 2005年2月23日 |
Survival probability of two correlated aggregate claims risk model |
| |
| YANG Shan-bing,FANG Hou-qing.Survival probability of two correlated aggregate claims risk model[J].Journal of Yunnan University(Natural Sciences),2006,28(1):16-20. |
| |
| Authors: | YANG Shan-bing FANG Hou-qing |
| |
| Institution: | 1. School of Science Nanjing University of Aeronautics and Astronautics, Nanjing 220016, China;2. Department of foundamental Science Teaching, Yancheng Institute of Technology, Yancheng 224003, China;3. School of Science, Jiangsu University, Zhenjiang 212013, China |
| |
| 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. |
| |
| Keywords: | correlated aggregate claims survival probability system of integro-differential equations Erlang(2) processes |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
| 点击此处可从《云南大学学报(自然科学版)》浏览原始摘要信息 |
| 点击此处可从《云南大学学报(自然科学版)》下载免费的PDF全文 |
