| 干扰条件下复合Poisson-Geometric过程的多险种风险模型下的破产概率 |
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| 引用本文： | 于文广,黄玉娟. 干扰条件下复合Poisson-Geometric过程的多险种风险模型下的破产概率[J]. 山东大学学报(理学版), 2008, 43(2): 16-18 |
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| 作者姓名： | 于文广 黄玉娟 |
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| 作者单位： | 山东经济学院统计与数学学院,山东,济南,250014;山东交通学院数理系,山东,济南,250023 |
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| 摘 要： | 对索赔到达为复合Poisson-Geometric过程的风险模型进行了推广, 研究了带有干扰条件下保单到达为参数α的Poisson过程,运用鞅论的方法得出了多险种风险模型下破产概率满足的Lundberg不等式和一般公式。
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| 关 键 词： | 破产概率 鞅 复合Poisson-Geometric过程 维纳过程 |
| 文章编号： | 1671-9352(2008)02-0016-03 |
| 修稿时间： | 2007-06-04 |
Ruin probability for a compound Poisson-Geometric process of multi-risk model with interference |
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| YU Wen-guang,HUANG Yu-juan. Ruin probability for a compound Poisson-Geometric process of multi-risk model with interference[J]. Journal of Shandong University, 2008, 43(2): 16-18 |
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| Authors: | YU Wen-guang HUANG Yu-juan |
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| Affiliation: | 1. School of Statistics and Mathematics, Shandong Economic University, Jinan 250014, Shandong, China;2. Department of Mathematics and Physics, Shandong Jiaotong University, Jinan 250023, Shandong, China |
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| Abstract: | A risk model, which the compensation arrives to the compound Poisson-Geometric process, was generalized. The arrival of term policies with interference, which was a Poisson process with intensity α, was studied. Applying the martingle theory, the Lundberg inequality and the formula for the ruin probability were concluded. |
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| Keywords: | ruin probability martingle compound Poisson-Geometric process Wiener process |
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