Sparre Andersen风险模型的破产问题
Ruin Problems for a Sparre Andersen Risk Model
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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.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.