数学物理学报(英文版) ›› 2003, Vol. 23 ›› Issue (1): 53-60.

• 论文 • 上一篇    下一篇

EXPLICIT EXPRESSIONS FOR SOME DISTRIBUTIONS RELATED TO RUIN PROBLEMS

 党兰芬, 杨丽明   

  1. Department of Physics, Suzhou University, Suzhou 215006, China College of Fundamental Science, China Agricultural University, Beijing 100094, China
  • 出版日期:2003-01-06 发布日期:2003-01-06

EXPLICIT EXPRESSIONS FOR SOME DISTRIBUTIONS RELATED TO RUIN PROBLEMS

 DANG Lan-Fen, YANG Li-Ming   

  1. Department of Physics, Suzhou University, Suzhou 215006, China College of Fundamental Science, China Agricultural University, Beijing 100094, China
  • Online:2003-01-06 Published:2003-01-06

PDF (PC)

1119

摘要：

The classical risk process that is perturbed by diffusion is studied. The explicit expressions for the ruin probability and the surplus distribution of the risk process at the time of ruin are obtained when the claim amount distribution is a finite mixture of exponential distributions or a Gamma (2, ) distribution.

关键词: Ruin probability, surplus distribution at the time of ruin, finite mixture of exponential distributions, Gamma distribution

Abstract:

The classical risk process that is perturbed by diffusion is studied. The explicit expressions for the ruin probability and the surplus distribution of the risk process at the time of ruin are obtained when the claim amount distribution is a finite mixture of exponential distributions or a Gamma (2, ) distribution.

Key words: Ruin probability, surplus distribution at the time of ruin, finite mixture of exponential distributions, Gamma distribution

中图分类号: 

  • 60G25
版权所有 © 《数学物理学报(英文版)》杂志社
地址：武汉市71010号信箱(430071)　电话: 027-87199206(中文版)　027-87199087(英文版)
E-mail: actams@apm.ac.cn
本系统由北京玛格泰克科技发展有限公司设计开发