Explicit Expressions for the Ruin Probabilities of Erlang Risk Processes with Pareto Individual Claim Distributions
文献类型：期刊论文
| 作者 | Wei Li2; Yang Hailiang1 |
| 刊名 | 应用数学学报：英文版
 |
| 出版日期 | 2004 |
| 卷号 | 20.0期号:003页码:495-506 |
| 关键词 | 破产可能性 Erlang解法 排列分布 拉普拉斯变换 康托集 实变函数 |
| ISSN号 | 0168-9673 |
| 其他题名 | Explicit Expressions for the Ruin Probabilities of Erlang Risk Processes with Pareto Individual Claim Distributions |
| 英文摘要 | In this paper we first consider a risk process in which claim inter-arrival times and the time until the first claim have an Erlang (2) distribution. An explicit solution is derived for the probability of ultimate ruin, given an initial reserve of u when the claim size follows a Pareto distribution. Follow Ramsay, Laplace transforms and exponential integrals are used to derive the solution, which involves a single integral of real valued functions along the positive real line, and the integrand is not of an oscillating kind. Then we show that the ultimate ruin probability can be expressed as the sum of expected values of functions of two different Gamma random variables. Finally, the results are extended to the Erlang(n) case. Numerical examples are given to illustrate the main results. |
| 语种 | 中文 |
| CSCD记录号 | CSCD:1613708 |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/53765]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 作者单位 | 1.香港大学 2.中国科学院数学与系统科学研究院 |
| 推荐引用方式 GB/T 7714 | Wei Li,Yang Hailiang. Explicit Expressions for the Ruin Probabilities of Erlang Risk Processes with Pareto Individual Claim Distributions[J]. 应用数学学报：英文版,2004,20.0(003):495-506. |
| APA | Wei Li,&Yang Hailiang.(2004).Explicit Expressions for the Ruin Probabilities of Erlang Risk Processes with Pareto Individual Claim Distributions.应用数学学报：英文版,20.0(003),495-506. |
| MLA | Wei Li,et al."Explicit Expressions for the Ruin Probabilities of Erlang Risk Processes with Pareto Individual Claim Distributions".应用数学学报：英文版 20.0.003(2004):495-506. |
入库方式： OAI收割
来源：数学与系统科学研究院
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