| 投资和干扰下的Erlang(2)模型的破产概率 |
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| 引用本文： | 郭东林.投资和干扰下的Erlang(2)模型的破产概率[J].菏泽学院学报,2010,32(5). |
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| 作者姓名： | 郭东林 |
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| 作者单位： | 商丘师范学院,数学系,河南,商丘,476000 |
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| 基金项目： | 河南省自然科学基金资助项目 |
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| 摘 要： | 讨论了投资和干扰下的Erlang(2)风险模型的破产概率.首先得到该模型的盈余过程具有平稳独立增量性;其次,利用鞅方法获得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： | Erlang(2)风险模型 投资 破产概率 |
Ruin Probability for Erlang(2) Risk Model with Investment and Interference |
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| GUO Dong-lin.Ruin Probability for Erlang(2) Risk Model with Investment and Interference[J].Journal of Heze University,2010,32(5). |
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| Authors: | GUO Dong-lin |
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| Institution: | GUO Dong-lin(Department of Mathematics,Shangqiu Normal College,Shangqiu Henan 476000,China) |
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| Abstract: | The ruin probability for Erlang(2) risk model with investment and interference is considered in this paper.Firstly,the stationary increment properties of profit process is obtained.Secondly,using the martingale method,the explicit expression and an upper bound estimation of ruin probability are derived. |
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| Keywords: | Erlang(2) risk model investment ruin probability |
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