CAJ | 학술논문

相依聚集索赔的风险模型是近年来为风险理论界所讨论的热门课题，通过构造带有干扰和固定投资的两个具有相依关系聚集索赔带随机保费的风险模型，利用鞅分析方法，求出了该模型的破产概率的精确表达式，从而得到破产概率所满足的林德伯格不等式．
상의취집색배적풍험모형시근년래위풍험이론계소토론적열문과제，통과구조대유간우화고정투자적량개구유상의관계취집색배대수궤보비적풍험모형，이용앙분석방법，구출료해모형적파산개솔적정학표체식，종이득도파산개솔소만족적림덕백격불등식．
Correlated aggregate claims risk model is a hot topic in the risk theory field at present. In this paper we consider two correlated aggregate claims risk model with random premium income and investment interest rates, which the policy premiums are random sequence. We derive the Lundberg inequality and its accurate expression of ruin probability by using martingale analysis.