| 保费再投资下双Cox风险模型的破产概率 |
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| 引用本文： | 耿金辉,李志民.保费再投资下双Cox风险模型的破产概率[J].延安大学学报(自然科学版),2014(4):1-3. |
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| 作者姓名： | 耿金辉 李志民 |
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| 作者单位： | 安徽工程大学数理学院 |
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| 基金项目： | 安徽省高校省级自然科学研究重点项目(KJ2013A044) |
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| 摘 要： | 基于经典的风险模型,考虑了对于保费进行稳健投资的情况,引入了将保费进行再投资情况下的双Cox风险模型,利用鞅方法研究了破产概率问题,得到了该模型的破产概率的Lundberg不等式,并对Lundberg不等式进行了推广。
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| 关 键 词： | Cox过程 破产概率 Lundberg不等式 鞅 |
Ruin Probability of Premium Reinvestment in Double Cox Risk Model |
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| GENG Jin-hui;LI Zhi-min.Ruin Probability of Premium Reinvestment in Double Cox Risk Model[J].Journal of Yan'an University(Natural Science Edition),2014(4):1-3. |
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| Authors: | GENG Jin-hui;LI Zhi-min |
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| Institution: | GENG Jin-hui;LI Zhi-min;School of Mathematics and Physics,Anhui Polytechnic University; |
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| Abstract: | Based on the classical risk model,considering the premium for sound investment situation,premiums reinvestment will be introduced in the double Cox risk model,study ruin probability problems by using the martingale method,get the Lundberg inequality of the ruin probability of the model,and then generalize the Lundberg inequality. |
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| Keywords: | Cox process ruin probability lundberg inequality martingale |
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