[1]戴 沨,马树建,王晓谦.关于经典风险理论破产概率统一表述的一个注记[J].南京师范大学学报(自然科学版),2010,33(01):28-31.
 Dai Feng,Ma Shujian,Wang Xiaoqian.A Note on the Unity Expression of Ruin Probabilities in the Classical Risk Theory[J].Journal of Nanjing Normal University(Natural Science Edition),2010,33(01):28-31.
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关于经典风险理论破产概率统一表述的一个注记()
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《南京师范大学学报》(自然科学版)[ISSN:1001-4616/CN:32-1239/N]

卷:
第33卷
期数:
2010年01期
页码:
28-31
栏目:
数学
出版日期:
2010-03-20

文章信息/Info

Title:
A Note on the Unity Expression of Ruin Probabilities in the Classical Risk Theory
作者:
戴 沨1 马树建1 王晓谦2
1. 南京工业大学理学院, 江苏南京210009 2. 南京师范大学数学科学学院, 江苏南京210097
Author(s):
Dai Feng1Ma Shujian1Wang Xiaoqian2
1.College of Sciences,Nanjing University of Technology,Nanjing 210009,China 2. School of Mathem atical Sciences, Nan jing Normal University, Nan jing 210097, China
关键词:
破产概率 经典风险理论 有限时间 统一表述
Keywords:
ruin probability classica l risk theo ry fin ite tim e unity expression
分类号:
F224;F840
摘要:
保险公司发生的索赔量分布是离散型或者是连续型的,在不同的分布类型下,保险公司破产的表述形式未必相同.本文在经典风险理论下,给出了有限时间内保险公司不破产的统一表述.
Abstract:
In th is paper the gene ra l un ity expression of nonru in probab ilities in a fin ite tim e is g iven whether the c la im am ount random variab les have any d iscrete jo in t d istribution or continuous joint distribution.

参考文献/References:

[ 1] Ignatov Z G, Ka ishev V K J. Two- sided bounds for the finite tim e ruin probab ility[ J] . Scand A ctuar ial J, 2000( 1): 46-62.
[ 2] Ignatov Z G, K aishev V K J, Rossen S K rachunov. An im proved finite- tim e ru in probab ility form ula and its m athem atica imp lementation Insurance[ J] . M athem atics and Econom ics, 2001, 29( 3) : 375-386.
[ 3] Ph ilippe P icard, C laude Lefevre. M ultir isks mode l and fin ite-tim e ruin probab ilities[ J]. M ethodology and C om puting in App lied Probability, 2003( 3): 337-353.
[ 4] Ignatov Z G, Ka ishev V K J. A fin ite- tim e ru in probab ility form ula for con tinous c la im sever ities[ J]. App l Prob, 2004( 3): 570-578.
[ 5] Ka rlin S V K, Tay lorH M. A Second Course in S to chastic Pro cesses[M ]. N ew York: A cadem ic Press, 1987.

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备注/Memo

备注/Memo:
基金项目: 江苏省高校自然科学研究项目( 09KJB570002)、南京工业大学青年教师学术基金( 39704014) .
通讯联系人: 王晓谦, 副教授, 硕士生导师, 研究方向: 概率极限定理及其在金融中的应用. E-mail:wxqmath@ 263.net
更新日期/Last Update: 2013-04-08