【摘要】 主要研究了具有随机保费的二维风险模型的破产问题.对于破产时Tmax,获得了生存概率满足的积分-微分方程.对于索赔是轻尾的情形用鞅的方法得到最终破产概率的一个渐进上界.对于索赔是重尾的情形,获得有限时刻破产概率的显性表达式.更多还原

【Abstract】 This paper studies a two-dimensional risk model with stochastic premiums. For the type of ruin Tmax,we derive an integro-differential equation for the non-ruin probability Φmax( u1,u2). For the case of light-tailed claims,using the martingale technique,we obtain a Lundberg-type upper bound for the ultimate ruin probability. For the case of heavy-tailed claims,we establish an explicit asymptotic expression for the finite-time ruin probability.更多还原