Ruin probability for Cox risk model with α -stable subordinator

被引：0

作者：

Song Min ^{[1
]}

Chen Zheng ^{[1
]}

Zhou Tong ^{[1
]}

机构：

[1] Nankai Univ, Sch Finance, Tianjin 300071, Peoples R China

来源：

STATISTIC APPLICATION IN MODERN SOCIETY | 2015年

关键词：

Cox risk model; alpha -stable subordinator; survival probability;

D O I：

暂无

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

In this paper, we consider a Cox risk model with the intensity measure follows alpha -stable subordinator. It is shown that the survival probability satisfy certain renewal equation. Finally, the role of the adjustment coefficient is explained and numerical examples are given.

引用

页码：818 / 821

页数：4

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