一类Cox风险过程中的三联分布

On the Joint Distribution for a Kind of Cox Risk Process

  • 摘要: 本文研究了一类Cox风险过程破产时、破产瞬间前的余额、破产时的赤字这三个重要精算量的联合分布, 并给出了一些密度测度的分布

     

    Abstract: In this paper we study a kind of Cox risk process taking both risk and portfolio fluctuations into account. We obtain expressions for the joint distribution generated by the three actuarial diagnostics: the time of ruin, the surplus immediately before ruin and the deficit at ruin. Finally we investigate the so-called intensity measure of Cox process related to the model

     

/

返回文章
返回