摘要
本文引进了含相关类带干扰经典风险过程,研究类之间的相关性对破产概率的影响,主要研究类之间的相关性对其Lundberg指数的大小关系的影响.
In this paper,we introduce a correlated risk process that is perturbed by diffusion with common shock.We study how the dependence between the classes impacts on the ruin probability.We do this mainly by comparing the influences of the dependence on the sizes of the Lundberg exponents of the risk processes.
出处
《应用概率统计》
CSCD
北大核心
2008年第6期585-592,共8页
Chinese Journal of Applied Probability and Statistics
基金
国家自然科学基金(10571132)资助项目
