Embrechts—Goldie-Veraverbeke公式给出了在重尾索赔Cramer-Lundberg风险模型下关于破产概率的等价式.本文将上述风险模型推广到带干扰的Cramer-Lundberg风险模型,研究了索赔分布时破产概率的等价关系式.
The equivalent forms of ruin probability under the Gramer-Lundberg risk models were presented from the formula Embrechts-Goldie-Veraverbeke. In this paper,the risk models were generalized to those perturbed by diffusion, and the equivalent forms of ruin probability under the claim distribution FGS" were obtained.