摘要
研究人寿保险的破产模型 ,其中保单到达和索赔发生时刻为相互独立的 Poisson流 ,索赔额服从指数分布 .针对此模型给出了 t时刻之前破产概率的一个上界估计 。
In this paper we consider a model for the term insurance of a life insurance company, where the arrival of policies and the occurence of claims follow two independent Poisson flows, the amounts of claims follow the exponential distribution. For this model a upper bound for the ruin probability is given. A computational programme of stochastic simulation for the ruin probability and the numerical result of stochastic simulation for a concrete example are also given.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2000年第7期63-68,共6页
Systems Engineering-Theory & Practice
基金
国家自然科学基金!(19970175)
