| 一类推广的复合Poisson模型的赤字分布 |
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| 引用本文： | 包振华,张磊.一类推广的复合Poisson模型的赤字分布[J].辽宁师范大学学报(自然科学版),2011,34(1). |
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| 作者姓名： | 包振华 张磊 |
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| 作者单位： | 辽宁师范大学,数学学院,辽宁,大连,116029 |
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| 基金项目： | 辽宁省教育厅高等学校科研项目 |
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| 摘 要： | 经典的Sparre Andersen风险模型假设保费收入过程为时间的线性函数.研究一类推广的复合Poisson棋型,其中保费收入过程是一个独立于索赔过程的Poisson过程.对于此类风险模型,利用破产概率及赤字分布所满足的瑕疵更新方程给出了赤字分布的显示解,并且利用这个显示解得到了关于赤字分布的一个下界估计.
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| 关 键 词： | 推广的复合Poisson模型 赤字分布 最终破产概率 |
Deficit distribution for a class of generalized compound Poisson model |
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| BAO Zhen-hua,ZHANG Lei.Deficit distribution for a class of generalized compound Poisson model[J].Journal of Liaoning Normal University(Natural Science Edition),2011,34(1). |
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| Authors: | BAO Zhen-hua ZHANG Lei |
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| Institution: | BAO Zhen-hua,ZHANG Lei(School of Mathematics,Liaoning Normal University,Dalian 116029,China) |
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| Abstract: | In the classical Sparre Andersen risk model,the premium income process is assumed to be the linear function of time.In the present paper,we study a class of generalized compound Poisson model,in which the premium income process is another Poisson process independent of claim process.For the generalized model,we obtain an explicit expression for the deficit by using the defective renewal equations satisfied by the ultimate ruin probability and deficit distribution,which in turn helps one to obtain the estima... |
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| Keywords: | generalized compound Poisson model deficit distribution ultimate ruin probability |
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