| 常利力下双复合泊松风险模型破产概率的上界 |
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| 引用本文： | 魏广华,高启兵.常利力下双复合泊松风险模型破产概率的上界[J].南京师大学报,2009,32(1). |
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| 作者姓名： | 魏广华 高启兵 |
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| 作者单位： | 魏广华,Wei Guanghua(金陵科技学院基础课部,江苏,南京,210001);高启兵,Gao Qibing(南京师范大学数学与计算机科学学院,江苏,南京,210097;东南大学数学系,江苏,南京,210096)
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| 基金项目： | 国家自然科学基金，江苏省自然科学基金，东南大学博士后基金 |
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| 摘 要： | 对经典的Lundberg-Cramer风险模型和Fang and Luo's风险模型进行了推广.考虑了常利力下双复合泊松风险模型.模型中保费和理赔到达计数过程均为齐次Poisson过程.借助鞅和递归技巧,获得该风险模型的最终破产概率的指数型上界.
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| 关 键 词： | 双复合泊松风险模型 常利力 鞅 递归 破产概率 |
Upper Bounds for Ruin Probability in the Double Compound Poisson Risk Model Under Constant Interest Force |
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| Wei Guanghua,Gao Qibing.Upper Bounds for Ruin Probability in the Double Compound Poisson Risk Model Under Constant Interest Force[J].Journal of Nanjing Normal University(Natural Science Edition),2009,32(1). |
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| Authors: | Wei Guanghua Gao Qibing |
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| Institution: | 1.Department of Basic Courses;Jinling Institute of Technology;Nanjing 210001;China;2.School of Mathematics and Computer Science;Nanjing Normal University;Nanjing 210097;China;3.Department of Mathematics;Southeast University;Nanjing 210096;China |
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| Abstract: | Classical Lundberg-Cramer risk model and Fung and Luo's risk model are extended.The double compound Poisson risk model under constant interest force is considered.The claim number processes and insures premium income number processes are different humogenecus Poisson processes.Exponential type upper bounds are obtained for the ultimate ruin probability of this risk model by martingale and recursive techniques. |
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| Keywords: | double compound Poisson risk model constant interest force martingale recursive ruin probability |
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