Sparre Andersen风险模型的破产问题

详细信息

Ruin Problems for a Sparre Andersen Risk Model

Funds:

Research supported by the National Natural Science Foundation of China (No.10471076) and the Natural Science Foundation of Shandong (No.Y2004A06).

摘要: 本文主要研究了一类Sparre Andersen模型,其索赔时间间隔的分布为指数分布与Erlang(n) 分布的混合.得到了当初始资金u趋于无穷大时,破产概率ψ(u)的确切表达式和渐近表达式.
- Sparre Andersen风险模型 /
- 破产概率 /
- S族
Abstract: In this paper, we consider a Sparre Andersen risk model in which the claim inter-arrival distribution is a mixture of an exponential distribution and an Erlang(n) distribution. We discuss the exact and the asymptotic behavior of the ruin probability under this risk model as the initial capital u tends to infinity.
- Sparre Andersen model /
- ruin probability /
- the class S