| 带干扰的双复合泊松风险模型 |
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| 引用本文： | 王育庆,江伟. 带干扰的双复合泊松风险模型[J]. 安庆师范学院学报(自然科学版), 2007, 13(4): 24-27 |
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| 作者姓名： | 王育庆 江伟 |
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| 作者单位： | 合肥工业大学,理学院,安徽,合肥,230009;,安庆师范学院,计算机与信息学院,安徽,安庆,246133 |
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| 摘 要： | 在经典风险模型的基础上,研究了带干扰的保费收取过程是复合泊松过程,索赔总额是复合泊松过程的风险模型,我们称之为带干扰的双复合泊松风险模型,该模型中的干扰项是通过标准布朗运动来进行描述的。运用鞅方法得出了破产概率满足的Lundberg不等式和一般公式,并给出了不破产概率满足的积分表示。同时也给出了有限时间内不破产概率满足的积分微分方程。
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| 关 键 词： | 风险模型 复合泊松过程 干扰 鞅 停时 破产概率 |
| 文章编号： | 1007-4260（2007）04-0024-04 |
| 收稿时间： | 2007-09-04 |
| 修稿时间： | 2007-09-04 |
Risk Model with Interference Item and Two Compound Poisson Models |
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| WANG Yu-qing,JIANG Wei. Risk Model with Interference Item and Two Compound Poisson Models[J]. Journal of Anqing Teachers College(Natural Science Edition), 2007, 13(4): 24-27 |
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| Authors: | WANG Yu-qing JIANG Wei |
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| Abstract: | On the basis of classical risk model,we study a new risk model in which the arrival of insurance policies is a compound Poisson process and its main contents with the interference item.We regard it as risk model with interference item and double compound Poisson models.In this model,the interference item is modeled by standard Brownian motion.The Lundberg inequality and the common formula of the ruin probability are gotten in terms of some techniques from martingale theory.Meanwhile,the integral representations of the non-ruin probability and the integral-differential equation of the non-ruin probability in finite time are gotten. |
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| Keywords: | risk model compound Poisson process interference martingale stopping time ruin probability |
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