| 广义二元复合Cox风险模型的破产问题 |
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| 引用本文： | 赵晓芹,刘再明.广义二元复合Cox风险模型的破产问题[J].长沙理工大学学报(自然科学版),2007,4(3):83-86. |
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| 作者姓名： | 赵晓芹 刘再明 |
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| 作者单位： | 1. 长沙理工大学,数学与计算科学学院,湖南,长沙,410076
2. 中南大学数学科学与计算技术学院,湖南,长沙,410075 |
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| 摘 要： | 研究了一类双险种风险模型,模型中的索赔到达计数过程和其中一个险种的保单到达计数过程均为Cox过程,得到了最终破产概率满足的推广的Lundberg不等式;研究了混合Poisson风险模型的破产概率,得出在一定条件下平稳Cox模型比Poisson模型风险更大的结论.
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| 关 键 词： | Cox过程 破产概率 Lundberg不等式 |
| 文章编号： | 1672-9331（2007）03-0083-04 |
| 修稿时间： | 2006-10-14 |
Ruin problems for the generalized double-line compound Cox risk model |
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| ZHAO Xiao-qin,LIU Zai-ming.Ruin problems for the generalized double-line compound Cox risk model[J].Journal of Changsha University of Science and Technology:Natural Science,2007,4(3):83-86. |
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| Authors: | ZHAO Xiao-qin LIU Zai-ming |
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| Institution: | 1. College of Mathematics and Computing Science,Changsha University of Science and Technology,Changsha 410076, China; 2. College of Mathematical Sciences and Computing Technology,Central University,Changsha 410075, China |
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| Abstract: | We of the double eralized Lund consider a double-line risk model, where the claimed number processes and one policies about number processes are different Cox processes. We obtain a genberg inequality for ruin probability. The special case of mixed Poisson risk model is discussed. We also obtain the conclusion that the risk level in stationary Cox model is greater than the one in Poisson model. |
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| Keywords: | Cox process ruin probability Lundberg inequality |
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