华东师范大学学报(自然科学版) ›› 2013, Vol. 2013 ›› Issue (6): 22-31.

• 应用数学与基础数学 • 上一篇    下一篇

带常利率的二维风险模型的破产概率

张媛媛1, 王文胜2   

  1. 1. 华东师范大学~~金融与统计学院, 上海 200241; 2. 杭州师范大学~~数学系, 杭州 310018
  • 收稿日期:2013-01-01 修回日期:2013-04-01 出版日期:2013-11-25 发布日期:2014-01-13

Ruin probabilities of a bidimensional risk model with constant interest rate

ZHANG Yuan-yuan1,  WANG Wen-sheng2   

  1. 1. School of Finance and Statistics, East China Normal University, Shanghai 200241, China 2. Department of Mathematics, Hangzhou Normal University, Hangzhou 310018, China
  • Received:2013-01-01 Revised:2013-04-01 Online:2013-11-25 Published:2014-01-13

摘要: 在二维框架下, 研究了两种类型的破产.
当索赔分布是重尾分布时, 对于这两种类型的破产,
分别得到了生存概率满足的积分-微分方程,
以及有限时间破产概率的明确的渐进表\linebreak 达式.

关键词: 二维风险模型, 生存概率, 有限时间破产概率

Abstract: We studied two types of ruin in the bidimensional
framework. For each type of ruin, we derived an integro-differential
equation for the survival probability, and an explicit asymptotic
expression for the finite-time ruin probability when claim sizes
have heavy tailed distributions.

Key words: bidimensional risk model, survival probability, finite-time ruin probability

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