摘要
目的研究S(γ)族索赔分布在一般干扰模型中的破产概率。方法利用分布的相关性质及拉普拉斯变换。结果得到与分布及干扰过程有关的破产概率定理。结论揭示了初始准备金趋于无限时,破产概率受干扰强度的规律,推广了已有干扰模型的破产概率估计。
Aim To study the ruin probability in a perturbed model in which the claim distribution belongs to S (γ). Methods Using the nature of S(γ) and the Laplace transform. Results A theorem of the perturbationruin probability about the claim distribution and the perturbation process is obtained. Conclusion The perturbation law is provided when the initial reserve tends to + ∞ ,and the results of the perturbation ruin probability are extended.
出处
《西北大学学报(自然科学版)》
CAS
CSCD
北大核心
2009年第6期925-927,935,共4页
Journal of Northwest University(Natural Science Edition)
基金
国家自然科学基金资助项目(10771169)
关键词
破产概率
干扰模型
轻尾分布
Lěvy过程
the ruin probability
the perturbed model
the lighter-tailed distribution
LEvy motion