相关负风险和模型的破产概率
Ruin Probability for the Risk Process with Correlated Negative Risk Sums
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摘要: 本文考虑负风险和模型,研究类之间的相关性对破产概率的影响,并把相关与独立时两种情形的结果进行比较。当“理赔量”(这里理赔意味着收入)均为指数变量或指数变量与Γ(2,β)变量时给出数值比较.Abstract: In this paper, we consider the risk process with correlated negative risk sums. We study how the dependence between the classes impacts on the ruin probability. We compare the results with the risk model with independent classes. We give the numerical illustration for the ruin probability when the " claims " distributions are two exponential distributions or an exponential and a Γ(2,β) distribution.