English

运筹学学报 ›› 2010, Vol. 14 ›› Issue (1): 77-84.

• 运筹学 • 上一篇    下一篇

索赔额是指数分布的马氏风险模型的破产概率

金士伟   

  • 出版日期:2010-03-15 发布日期:2010-03-15

 The Ruin Probability for Markov Risk Model with  Claim Amounts Being Exponentially Distributed

JIN Shi-Wei   

  • Online:2010-03-15 Published:2010-03-15

被引次数

11

摘要： 本文研究了马氏风险模型的破产概率,在索赔额服从指数分布或混合指数分布情形，通过解破产概率所满足的微积方程组，给出了破产概率的解析表达式.

Abstract: The ruin probability for a Markov risk model is considered in the paper. In the case where the claim distribution is exponential or mixed exponential, the explicit form of the ruin probability is given by solving the differential-integral systems satisfied by the ruin probability.