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研究索赔到达为广义Poisson过程的风险模型.推导出关于破产时间、破产瞬间前的余额、破产赤字三特征的联合分布函数表达式,得到索赔到达服从指数分布时三特征联合分布函数的显式表达式.
Abstract：A risk process for life risk model is probed,where the arrival of the claim is generalized Poisson process.Expressions for the joint distribution function of the time of ruin,the surplus immediately before ruin and the deficit at ruin are obtained.At last,the display expression of ruin probability by using the joint distribution function,when the arrival of the claim is exponential distribution,is also obtained.
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基本信息:
中图分类号:O211.3;F840
引用信息:
[1]刘文震,王传玉.复合广义Poisson风险过程的三特征联合分布函数[J],2012,11(04):90-94.
基金信息:
安徽省高校人文社会科学基金资助项目(2010SK316)