| 带干扰的两险种复合Poisson-geometric风险模型的破产概率 |
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| 引用本文： | 孙春香.带干扰的两险种复合Poisson-geometric风险模型的破产概率[J].五邑大学学报(自然科学版),2014(3):6-10. |
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| 作者姓名： | 孙春香 |
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| 作者单位： | 淮南师范学院数学与计算科学系,安徽淮南232038 |
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| 基金项目： | 安徽省高校优秀人才基金项目（2011SQRL136）. |
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| 摘 要： | 将经典单一型复合Poisson风险模型推广到带干扰的两险种复合Poisson-geometric过程.构造调节系数方程并证明了调节系数的存在唯一性之后,运用鞅方法推导出了该风险模型下保险公司破产概率的表达式和破产概率上界,并给出了当个体理赔额服从指数分布时破产概率的表达式.
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| 关 键 词： | 破产概率 Poisson-geometric过程 矩母函数 鞅 标准布朗运动 |
Ruin Probability in the Risk Model with two Compound Poisson-geometric Processes by Diffusion |
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| SUN Chun-xiang.Ruin Probability in the Risk Model with two Compound Poisson-geometric Processes by Diffusion[J].Journal of Wuyi University(Natural Science Edition),2014(3):6-10. |
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| Authors: | SUN Chun-xiang |
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| Institution: | SUN Chun-xiang (Department of Mathematics and Computational Science, Huainan Normal University, Huainan 232038, China) |
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| Abstract: | The classic single type of compound Poisson risk model is extended to two compound Poisson-geometric risk models with interference, an adjustment coefficient equation is constructed, and the existence uniqueness of the adjustment coefficient is proved, the representation and the upper bound of the probability of the ruin of insurance companies are derived using the martingale approach, and finally, the representation for ruin probability is given when individual claims conform to exponential distribution. |
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| Keywords: | ruin probability Poisson-geometric process moment generating functions martingale standard Brown motion |
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