| 复合二项分布下多险种的负风险模型 |
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| 引用本文： | 赵娟,金燕生,刘征福.复合二项分布下多险种的负风险模型[J].郑州大学学报(理学版),2011(3). |
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| 作者姓名： | 赵娟 金燕生 刘征福 |
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| 作者单位： | 燕山大学理学院; |
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| 基金项目： | 河北省教育厅自然科学研究项目,编号Z2008136 |
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| 摘 要： | 考虑了离散的复合二项分布下多险种的负风险模型.其中,保险公司的保费收入是一个负的常数,并且索赔过程为复合二项过程模型的多险种风险过程.通过构建有关索赔过程的期望方程给出了调节系数的定义,并通过鞅论得到了破产概率的Lundberg不等式(伦德伯格不等式),运用更新理论与递归的手法获得了破产概率的关系式以及破产概率确切的表达式.而且,最后根据破产概率的具体表达式给出了关于破产概率的一个极限值.
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| 关 键 词： | 负风险 复合二项风险过程 破产概率 Lundberg不等式 |
Negative Multiple Line Risk Model with Compound Binomial Process |
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| ZHAO Juan,JIN Yan-sheng,LIU Zheng-fu.Negative Multiple Line Risk Model with Compound Binomial Process[J].Journal of Zhengzhou University:Natural Science Edition,2011(3). |
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| Authors: | ZHAO Juan JIN Yan-sheng LIU Zheng-fu |
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| Institution: | ZHAO Juan,JIN Yan-sheng,LIU Zheng-fu(College of Sciences,Yanshan University,Qinhuangdao 066004,China) |
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| Abstract: | The negative multiple line risk model of discrete process was considered.Insurers' premium income was a negative constant,and claims models were compound binomial risk process.By constructing the expectations about claim process,the adjustment coefficient of definition was given.Then in line with martingale theory,the Lundberg inequality of ruin probability was concluded,furthermore,ruin probability formula and the exact formula of ruin probability were obtained by the updated theory and recursion.And the l... |
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| Keywords: | negative risk compound binomial process ruin probability Lundberg inequality |
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