| 基于进入过程带扰动风险模型的破产概率 |
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| 引用本文： | 唐加山,励源芝. 基于进入过程带扰动风险模型的破产概率[J]. 重庆邮电学院学报(自然科学版), 2009, 0(6) |
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| 作者姓名： | 唐加山 励源芝 |
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| 作者单位： | 南京邮电大学理学院;Department of Statistics and Probability;Michigan State University; |
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| 摘 要： | 在风险市场中,索赔过程是受保单过程驱动的,基于此思想,学者们提出了一类新的基于进入过程的非寿险保险风险模型。在简化上述模型的基础上,考虑了一类带布朗运动干扰的风险保险模型,利用鞅方法给出了该模型破产概率的显式表达式以及它的一个上界估计。
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| 关 键 词： | 风险模型 进入过程 扰动 破产概率 鞅方法 |
Ruin probability of entrance processes based insurance risk model with perturbation |
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| TANG Jia-shan,LI Yuan-zhi. Ruin probability of entrance processes based insurance risk model with perturbation[J]. Journal of Chongqing University of Posts and Telecommunications(Natural Sciences Edition), 2009, 0(6) |
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| Authors: | TANG Jia-shan LI Yuan-zhi |
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| Affiliation: | TANG Jia-shan1,LI Yuan-zhi2(1.College of Natural Sciences,Nanjing University of Posts , Telecommunications,Nanjing 210003,P.R.China,2.Department of Statistics , Probability,Michigan State University,Ease Lansing,MI 48824,USA) |
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| Abstract: | In the risk market,the claim number process is driven by the policy issuing process.Based on this idea,researchers presented a new entrance process based non-life insurance risk model.In this paper,one kind of simplified entrance processes based insurance risk model with perturbation which is described by a Brownian motion was investigated.Using the martingale method,the explicit expression and an upper bound estimation of the ruin probability of the model were presented. |
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| Keywords: | insurance risk model entrance process perturbation ruin probability martingale method |
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