CAJ | 학술논문

该文讨论了索赔时间间隔与索赔量相关且带干扰的风险模型.借助拉普拉斯变换研究了此模型的破产时刻、破产前瞬间盈余及破产时赤字三者的联合分布,得到了此联合分布拉普拉斯变换的一个分析表达式并讨论了当初始盈余值趋于无穷大时,此联合分布的渐近表达式.
해문토론료색배시간간격여색배량상관차대간우적풍험모형.차조랍보랍사변환연구료차모형적파산시각、파산전순간영여급파산시적자삼자적연합분포,득도료차연합분포랍보랍사변환적일개분석표체식병토론료당초시영여치추우무궁대시,차연합분포적점근표체식.
Using Laplace transform, the paper studies the joint distribution of the time of ruin, the surplus prior to ruin and the deficit at ruin for the jump-diffusion model with a dependent setting, where the claim inter-occurrence times depend on the previous claim size. Exact analytical expressions for the Laplace transform of the joint distribution are derived. The asymptotic behavior of the joint distribution as the initial capital tends to infinity is discussed.