| 具有变点理赔过程的风险模型 |
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| 引用本文： | 刘琮敏,张硕,李琦,王德辉.具有变点理赔过程的风险模型[J].吉林大学学报(理学版),2017,55(3):594-598. |
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| 作者姓名： | 刘琮敏 张硕 李琦 王德辉 |
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| 作者单位： | 1. 吉林大学 数学学院, 长春 130012； 2. 吉林大学 学报编辑部， 长春 130012 |
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| 摘 要： | 基于Poisson分布单变点的思想,利用鞅方法研究具有变点理赔过程的风险模型,得到其变点前后的破产概率上界,并给出破产上界的随机模拟结果.
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| 关 键 词： | 鞅 随机模拟 调节系数 风险模型 破产概率 |
| 收稿时间： | 2016-11-25 |
Risk Model with Change Point Claims Process |
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| LIU Congmin,ZHANG Shuo,LI Qi,WANG Dehui.Risk Model with Change Point Claims Process[J].Journal of Jilin University: Sci Ed,2017,55(3):594-598. |
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| Authors: | LIU Congmin ZHANG Shuo LI Qi WANG Dehui |
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| Institution: | 1. College of Mathematics, Jilin University, Changchun 130012, China;2. Editorial Department of Journal of Jilin University, Changchun 130012, China |
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| Abstract: | Based on the idea of single change point of Poisson distribution, we studied the risk model with change point claim process by using martingale method, obtained the upper bound of ruin probability before and after the change point, and gave the stochastic simulationresult of ruin upper bound. |
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| Keywords: | adjustment coefficient risk model ruin probability martingale stochastic simulation |
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