论文部分内容阅读
在本文中,我们把Copula连结函数用到二维的风险模型中,考虑两个模型索赔额之间基于Copula的相依关系.首先对二维复合Poisson模型给出了最早破产时刻定义下的生存概率满足的偏微分方程;然后对二维的复合二项模型,分别在连续型索赔额分布和离散型索赔额分布下给出了不同定义的生存概率和破产概率的递归公式,并且特别选择了FGM Copula连结函数,给出了相应的结果;另外在离散型分布下,对于其Copula函数的不唯一性进行了说明.
In this paper, we use the Copula concatenation function in a two-dimensional risk model and consider the Copula-based dependencies between the two models claim amounts.Firstly, the survival probability under the definition of the earliest bankruptcy time is given for the two-dimensional compound Poisson model Then, the two-dimensional compound binomial model is given respectively with the recurrence formulas of survival probability and ruin probability under different distributions of continuous claims and discrete claims respectively. In addition, FGM Copula concatenation function, the corresponding results are given. In addition, under the discrete distribution, the non-uniqueness of the Copula function is described.