| 关于复合Poisson-geometric风险模型破产概率的研究 |
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| 引用本文： | 熊莹盈,高莘莘.关于复合Poisson-geometric风险模型破产概率的研究[J].湖北大学学报(自然科学版),2011,33(1):31-35. |
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| 作者姓名： | 熊莹盈 高莘莘 |
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| 作者单位： | 湖北大学数学与计算机科学学院,湖北,武汉,430062 |
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| 基金项目： | 湖北省教育厅优秀中青年人才项目 |
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| 摘 要： | 研究将索赔次数N(t)由Poissorn过程推广为Poisson-geometric过程后的风险模型的破产概率,求出其更新方程的初始解以及近似估计.并得到了带干扰情况下的破产概率所满足的积分-微分方程,最后用鞅的方法求出了其破产概率的上界及最终表达式.
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| 关 键 词： | 破产概率 Poisson-geometric过程 标准布朗运动 鞅 |
The researcher on the ruin probability of Poisson-geometric risk model |
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| XIONG Yingying,GAO Shenshen.The researcher on the ruin probability of Poisson-geometric risk model[J].Journal of Hubei University(Natural Science Edition),2011,33(1):31-35. |
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| Authors: | XIONG Yingying GAO Shenshen |
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| Institution: | (School of Mathematics and Computer Science,Hubei University,Wuhan 430062,China) |
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| Abstract: | The classical risk model was generalized,letting the arrival of the claims be Poisson-geometric process,found the initial solution of the renewal equation and it＇s approximation.Using Ito^formula,calculated it＇s calculus-differential equation.By using the method of Martingale,the inequality for the ultimately ruin probability and at last an explicit expression were obtained. |
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| Keywords: | ruin probability Poisson-geometric process diffusion martingale |
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