| 复合Poisson分布下m重负风险模型 |
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| 引用本文： | 张坤明,金燕生,赵娟,刘征福.复合Poisson分布下m重负风险模型[J].黑龙江大学自然科学学报,2011,28(2). |
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| 作者姓名： | 张坤明 金燕生 赵娟 刘征福 |
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| 作者单位： | 燕山大学理学院,秦皇岛,066004 |
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| 基金项目： | 河北省教育厅自然科学研究项目 |
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| 摘 要： | 考虑复合Poisson分布下m重负风险模型,其中,保险公司的保费收入是一个负的常数,并且是m重险种在同一时刻发生索赔,索赔过程又皆为复合Poisson过程.给出调节系数所满足的方程,并利用鞅的方法和负风险模型本身的一些性质得到该模型的破产概率的确切表达式,同时得出Lundberg不等式.最后给出关于破产概率的一个极限值.
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| 关 键 词： | m重负风险 复合Poisson风险过程 破产概率 Lundberg不等式 |
The m-fold negative risk model with the compound Poisson process |
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| ZHANG Kun-ming,JIN Yan-sheng,ZHAO Juan,LIU Zheng-fu.The m-fold negative risk model with the compound Poisson process[J].Journal of Natural Science of Heilongjiang University,2011,28(2). |
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| Authors: | ZHANG Kun-ming JIN Yan-sheng ZHAO Juan LIU Zheng-fu |
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| Institution: | ZHANG Kun-ming,JIN Yan-sheng,ZHAO Juan,LIU Zheng-fu (College of Sciences,Yanshan University,Qinhuangdao 066004,China) |
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| Abstract: | The m-fold negative risk model with the compound Poisson process is considered.Insurers' premium income is a negative constant.Claims of the m-fold risks happen at the same time,and they are compound Poisson processes.The equation on adjustment coefficient is given.By using martingale theory and the negative risk models' natural properties,the exact ruin probability is obtained.Furthermore,the Lundberg inequality is derived.At last,the limit of ruin probability is given. |
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| Keywords: | m-fold negative risk compound Poisson process ruin probability Lundberg inequality |
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