论文标题
在具有依赖的风险模型上
On risk models with dependence
论文作者
论文摘要
在本文中，我们考虑经典和Erlang（2）风险过程，当时互指数的时间和索赔金额取决于。我们假设依赖性结构是通过Farlie-Gumbel-Morgenstern（FGM）Copula定义的，并表明可以在经典风险模型中得出结果的方法可以修改以在依赖风险过程中得出结果。我们发现毁灭前的生存概率和最大盈余概率的表达方式。
In this paper we consider the classical and Erlang(2) risk processes when the inter-claim times and claim amounts are dependent. We assume that the dependence structure is defined through a Farlie-Gumbel-Morgenstern (FGM) copula and show that the methods used to derive results in the classical risk model can be modified to derive results in a dependent risk process. We find expressions for the survival probability and the probability of maximum surplus before ruin.
