| 双Cox风险模型 |
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| 引用本文： | 何树红,徐兴富.双Cox风险模型[J].云南大学学报(自然科学版),2004,26(4):275-278,283. |
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| 作者姓名： | 何树红 徐兴富 |
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| 作者单位： | 云南大学,数学系,云南,昆明,650091 |
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| 基金项目： | 云南大学理(工)科校级科研项目资助. |
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| 摘 要： | 双Cox风险模型作为经典风险模型的一个推广,在保费的到达和理赔的发生都服从Cox过程的假定下,得到了破产概率的上界.并在假设保单的到达和理赔的发生具有相同的累积强度过程时,给出了破产概率的明确表达式.
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| 关 键 词： | 破产概率 Cox过程 Lundberg指数 |
| 文章编号： | 0258-7971(2004)04-0275-04 |
Double Cox risk model |
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| HE Shu-hong,XU Xing-fu.Double Cox risk model[J].Journal of Yunnan University(Natural Sciences),2004,26(4):275-278,283. |
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| Authors: | HE Shu-hong XU Xing-fu |
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| Institution: | Department of Mathematics, Yunnan University, Kunming 650091, China |
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| Abstract: | Double Cox Risk Model is a generalization of the classical risk model when assume both the arrival of policies and the occurrence of claims are Cox process.A upper bound of the ruin probability is got and a explicit expression of Ψ(u) is given when the arrival of the policies and the occurrence of the claims have the same intensity process. |
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| Keywords: | ruin probability Cox process lundberg index |
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