journal6 ›› 2005, Vol. 26 ›› Issue (3): 43-45.

• 博士论坛 • 上一篇    下一篇

带干扰的双复合Poisson风险模型的破产概率

  

  1. (云南大学数学系,云南 昆明 650091)
  • 出版日期:2005-07-15 发布日期:2012-09-22
  • 作者简介:何树红(1966-),男,云南省玉溪市人,博士,云南大学数学系教授,主要从事金融数学研究.
  • 基金资助:

    云南省自然科学基金资助项目(2003F0015M)

Ruin Probability in Risk Model with Double Compound Poisson Processes by Diffusion

  1. (Department of Mathematics,Yunnan University,Kunming 650091,Yunnan China)
  • Online:2005-07-15 Published:2012-09-22

摘要:考虑带干扰的双复合Poisson风险模型的破产概率,运用鞅方法得出破产概率满足的Lundberg不等式和一般公式,并给出当理赔额与收取的保费均服从指数分布时破产概率的具体表达式.

关键词: 干扰, 复合Poisson过程, 鞅, 停时, 破产概率

Abstract: A double compound Poisson processes risk model by diffusion is considered.Applying martingale approach,the Lundberg inequality and the formula of the ruin probability are obtained,and the explicit formula of the ruin probability is also obtained in case of exponential claim amounts and exponential premium incomes.

Key words: diffusion, compound Poisson process, martingale, stopping time, ruin probability

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