【摘要】 考虑了一类带延迟的风险模型的破产概率问题.索赔记数过程为泊松过程,在泊松过程的每个跳跃点都有两类风险发生,其中一类的索赔会延迟.对该类风险模型,利用拉普拉斯变换和所满足的微分方程,给出了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.更多还原

【Abstract】 A risk model in which each main claim induces a delayed claim called by-claim is considered.The time of delay for the occurrence of a by-claim is assumed to be exponentially distributed.Recursive formulas are developed for approximating the ultimate ruin probability.更多还原