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一类相关类负风险和风险过程的破产概率 被引量：1

Ruin Probability for a Correlated Risk Process with Negative Risk Sums
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摘要 引入一类相关负风险和风险过程,负风险和类之间的相关性定义为稀疏相关结构,主要研究类之间的相关性对破产概率的影响. In this paper, a correlated risk model with negative risk sums is considered. The correlation between the two classes of business is defined as the thinning dependence structure and how the dependence between the two classes impacts on the ruin probability is investigated.
作者 孙红梅 张春生 王过京
机构地区 苏州大学数学系 南开大学数学科学学院
出处 《南开大学学报（自然科学版）》 CAS CSCD 北大核心 2007年第5期53-56,共4页 Acta Scientiarum Naturalium Universitatis Nankaiensis
基金 国家自然科学基金(10571132)
关键词 LUNDBERG指数 负风险和 破产概率 稀疏相关结构 Lundberg exponent negative risk sum ruin probability thinning dependence structure
分类号 O211.6 [理学—概率论与数理统计]
  • 相关文献

参考文献8

  • 1Ambagaspitiya R S.On the distribution of two classes of correlated aggregate claims[J].Insurance:Mathematics and Economics,1998,23:15-19.
  • 2Cossette H,Marceau E.The discrete-time risk model with correlated classes of business[J].Insurance:Mathematics and Economics,2000,26:133-149.
  • 3Yuen K C,Guo J,Wu X.On a correlated aggregate claims model with Poisson and Erlang risk processes[J].Insurance:Mathematics and Economics,2002,31:205-214.
  • 4Yuen K C,Wang G.Comparing two models with dependent classes of business[J].ARCH,Society of Acturies,2002:22.
  • 5Wu X,Yuen K C.A discrete-time risk model with interaction between classes of business[J].Insurance:Mathematics and Economics,2003,33:117-133.
  • 6董迎辉,王过京.相关负风险和模型的破产概率[J].应用概率统计,2004,20(3):301-306. 被引量：21
  • 7Grandell J.Aspects of Risk Theory[M].New York:Springer-Verlag,1991.
  • 8Ross S M.Stochastic Processes[M].New York:Wiley,1996.

二级参考文献4

  • 1[1]Ambagaspitiya. R.S.. On the distribution of two classes of correlated aggregate claims, Insurace: Mathematics and Economics, 23(1998). 15-19.
  • 2[2]Ambagaspitiya, R.S.. On the distribution of two classes of correlated aggregate claims, Insurace: Mathematics and Economic.s. 24(1999), 302-308.
  • 3[3]Yuen, K.C., Guo, J.Y., Ruin probabilities for time-correlated claims in the compound binominal model, Insurace:Mathematics and Economics, 29(2001), 47-57.
  • 4[4]Grandell, .J., Aspects of Risk Theory, Spinger. Verlag, New York, 1991.

共引文献20

同被引文献5

  • 1Ambagaspitiya,R.S. On the Distribution of Two Classes of Correlated Aggregate Claims, Insurance[J].Mathematics and Economics, 1998, (23).
  • 2Cossette, H. , Marceau, E. The Discrete-time Risk Model with Corre- lated Classes of Business, Insurance[J].Mathematics and Economics, 2000, (26).
  • 3Dufresne, F., Gerber, H.U. Risk Theory for the Compound Poisson Process that is Perturbed by Diffusion, Insurance[J].Mathematics and Economics, 1991,(10).
  • 4赵翔华,尹传存.一类索赔相关且带干扰的风险模型[J].数学物理学报（A辑）,2009,29(6):1657-1664. 被引量：4
  • 5顾培培,王过京.相关带干扰风险模型的破产概率[J].应用概率统计,2008,24(6):585-592. 被引量：4

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二级引证文献1

南开大学学报（自然科学版）
2007年 第5期

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