| 扰动的二维风险模型的破产概率 |
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| 引用本文： | 李祥发,宋会杰,郭鹏江.扰动的二维风险模型的破产概率[J].西北大学学报,2008,38(6). |
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| 作者姓名： | 李祥发 宋会杰 郭鹏江 |
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| 作者单位： | 西北大学数学系 |
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| 摘 要： | 目的主要研究带有扰动项的二维风险模型的破产概率。方法在轻尾条件下,应用鞅论的技巧,求出破产概率的上界。结果求出Lndberg-type在无限时间内的破产概率的上界,并获得一些对两鞅剩余过程依赖关系的了解。结论对于多维风险模型的破产概率,在理论上和实际应用中有重要意义。
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| 关 键 词： | 破产概率 二维风险模型 Poisson过程 鞅 |
On the ruin probabilities of a bidimensional perturbed risk model |
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| LI Xiang-fa,SONG Hui-jie,GUO Peng-jiang.On the ruin probabilities of a bidimensional perturbed risk model[J].Journal of Northwest University(Natural Science Edition),2008,38(6). |
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| Authors: | LI Xiang-fa SONG Hui-jie GUO Peng-jiang |
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| Abstract: | Aim To study some recent works and the ruin probabilities of a bidimensional perturbed insurance risk model.Methods For the case of light-tailed claims,the infinite-time ruin probability of a Lundberg-type bound.Results The martvngale technique is used for the infinite-time ruin probability.Conclusion Ruin theory under multi-dimensional risk models,it has far-reaching significance in theory and practice. |
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| Keywords: | ruin probability two-dimensional risk models poisson process marginal |
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