一类索赔相关且带干扰的风险模型

Abstract

Abstract:

Using Laplace transform, the paper studies the joint distribution of the time of ruin, the surplus prior to ruin and the deficit at ruin for the jump-diffusion model with a dependent setting, where the claim inter-occurrence times depend on the previous claim size. Exact analytical expressions for the Laplace transform of the joint distribution are derived. The asymptotic behavior of the joint distribution as the initial capital tends to infinity is discussed.

Key words: Dependence, Jump-diffusion model, Laplace transform

CLC Number:

60G50

ZHAO Xiang-Hua, YIN Chuan-Cun. A Jump-diffusion Risk Model with Dependence |between Claim Sizes and Claim Intervals[J].Acta mathematica scientia,Series A, 2009, 29(6): 1657-1664.

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References

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A Jump-diffusion Risk Model with Dependence |between Claim Sizes and Claim Intervals

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