| 摘要: |
| 本文考虑文[1]中引入的一类索赔达到计数过程相关的两险种风险模型.利用更新方法,获得了该风险模型的分类破产概率的渐进结果,并给出了指数索赔情形下分类破产概率的表达式,从而改进了文[1]中的相关结果. |
| 关键词: 相关总索赔 破产概率 Erlang过程 更新定理 |
| DOI： |
| 分类号:O211.6;F224.7 |
| 基金项目:Supported by Hubei Province Key Laboratory of Systems Science in Metallurgical Process (Wuhan University of Science and Technology)(Y201116) and National Natural Science Foundation of China(11201356). |
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| RUIN PROBABILITIES CAUSED BY DIFFERENT CLASSES OF CLAIMS FOR A CORRELATED AGGREGATE CLAIMS MODEL |
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WU Chuan-ju1,2, ZHANG Cheng-lin2, HE Xiao-xia2, XIONG Dan2, LI Qing-qing2
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1.Hubei Province Key Laboratory, Systems Science in Metallurgical Process, Wuhan 430065, China;2.College of Science, Wuhan University of Science and Technology, Wuhan 430065, China
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| Abstract: |
| This paper considers the same risk model as in [1]. The risk model involves two correlated classes of insurance business and the two claim number processes related to Poisson and Erlang processes. Asymptotic results for ruin probabilities caused by different classes of claims are obtained by renewal argument. Explicit expressions for ruin probabilities caused by different classes of claims are derived when the original claim sizes are exponentially distributed. So the relevant results in [1] is improved. |
| Key words: correlated aggregate claims ruin probability Erlang process renewal theorem |
