| 一类交错风险过程的破产概率的递推计算 |
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| 引用本文： | 兰德新,温倩.一类交错风险过程的破产概率的递推计算[J].南平师专学报,2006,25(4):7-10. |
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| 作者姓名： | 兰德新 温倩 |
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| 作者单位： | 南平师范高等专科学校,经济与数学系,福建,武夷山,354300 |
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| 摘 要： | 考虑一类索赔依交错更新过程来到的风险过程,其索赔时间间隔是服从参数为λ1的指数分布和参数为λ2的指数分布交错持续的随机序列,索赔额是非负独立指数分布的随机变量序列。本文给出这类风险过程的破产概率的递推计算公式,从而解决了最终破产概率的近似求法。
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| 关 键 词： | 破产概率 递推计算 交错更新过程 |
| 文章编号： | 1008-5963（2006）04-0007-04 |
| 收稿时间： | 09 1 2006 12:00AM |
| 修稿时间： | 2006-09-01 |
Recursive Conpution for Ruin Probabilities of a Kind of Alternate Renewal Risk Processes |
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| LAN Dexin,WEN Qian.Recursive Conpution for Ruin Probabilities of a Kind of Alternate Renewal Risk Processes[J].Journal of Nanping Teachers College,2006,25(4):7-10. |
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| Authors: | LAN Dexin WEN Qian |
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| Institution: | Mathematics Deparmaent of Nanping Teachers College, Wuyishan 354300, Chian |
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| Abstract: | In this paper,we consider a king of risk processes that have an alternate renewalprocess,which means that a claim time interval which has an exponential distribution with parameter(or) just follows another claim time inveral which has an exponential disteibution with parameter(or); the claim amounts are i.i.d. non-negative random Variables. In the ease of exponential claim amounts, Recursive formulas are developed for approximating the ultimate ruin probability. |
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| Keywords: | ruin probability recusive computation alternat renewal process |
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