带常利率的二维风险模型的破产概率

张媛媛; 王文胜

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.
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

详细信息

中图分类号: O211
计量
- 文章访问数: 1402
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- 被引次数: 0
出版历程
- 收稿日期: 2013-01-01
- 修回日期: 2013-04-01
- 刊出日期: 2013-11-25

Ruin probabilities of a bidimensional risk model with constant interest rate

ZHANG Yuan-yuan¹,
WANG Wen-sheng²

1.
School of Finance and Statistics, East China Normal University, Shanghai 200241, China 2. Department of Mathematics, Hangzhou Normal University, Hangzhou 310018, China

摘要

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.
- 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.
- bidimensional risk model /
- survival probability /
- finite-time ruin probability

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参考文献(1)

[1]

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