Ruin Probabilities for a Double Type-insurance Risk Model with Negative Risk Sums
Abstract: In this paper，we consider a double type-insurance risk model with negative risk sums. Correlation may exist among the two“claims”number process. We derive the integro-differential equation and the explicit expression for the ruin probablities.We also compare the ruin probabilities of this risk model with classical negative risk sums model and give the numerial illustration. The results obtained generalize the classical neg-tive risk sums model.
文章引用: 邹娓 , 谢杰华 (2011) 具有相关理赔的二元负风险和模型的破产概率。 金融， 1， 33-37. doi: 10.12677/fin.2011.12006
 J. Grandell. Aspects of Risk Theory. New York: Springer-Verlag, 1991.
 R. S. Ambagaspitiya. On the distribution of a sum of correlated aggregate claims. Insurance: Mathematics and Economics, 1998, 23(1): 15-19.
 R. S. Ambagaspitiya. On the distribution of two classes of correlated aggregate claims. Insurance: Mathematics and Economics, 1999, 24(3): 301-308.
 C. Partrat. Compound model for two dependent for kinds of claims. Insurance: Mathematics and Economics, 1994, 15(2-3): 219- 231.
 K. C. Yuen, J. Y. Guo, and X. Y. Wu. On a correlated aggregate claims model with Poisson and Erlang risk processes. Insurance: Mathematics and Economics, 2002, 31(2): 205-214.
 谢杰华, 邹娓. 一类具有时间相依索赔风险模型的破产概率[J]. 中国科学院研究生院学报, 2008, 25(3): 313-319.
 谢杰华, 邹娓. 具有相关索赔风险模型的破产概率[J]. 应用数学学报, 2009, 32(3): 546-554.
 J. H. Xie, W. Zou. Expected present value of total dividends in a delayed claims risk model under stochastic interest rates. Insurance: Mathematics and Economics, 2010, 46(2): 415-422.
 W. Zou, J. H. Xie. On the ruin problem in an Erlang (2) risk model with delayed claims. Communications in Computer and Information Science, 2010, 105(2): 54-61.
 J. H. Xie, W. Zou. On the expected discounted penalty function for the compound Poisson risk model with delayed claims. Journal of Computational and Applied Mathematics, 2011, 235(8): 2392-2404.
 戚懿. 广义复合Poisson模型下的破产概率[J]. 应用概率统计, 1999, 15(2): 141-146.