常利率下带干扰的双险种Cox模型  

A Cox Risk Model of Double-Type-Insurance Perturbed by Diffussion under the Constant Interest

作　　者：何树红[1] 李如兵[1] 董志伟[1] 

机构地区：[1]云南大学数学系,云南昆明650091

出　　处：《云南民族大学学报（自然科学版）》2006年第2期110-115,共6页Journal of Yunnan Minzu University:Natural Sciences Edition

基　　金：国家自然科学基金资助项目(10561009)

摘　　要：考虑常利率下带干扰的双险种Cox模型,用鞅方法得到其Lundberg不等式,给出了特殊情况下破产概率的明确表达式,通过数值计算分析了利率及干扰项对破产概率的影响.A Cox risk model of double - type - insurance perturbed by diffusion under the constant interest is considered. Its Lundberg inequality is got by using martingale approach. A explicit expression of ruin probability is given in the special case. We also analyze how the ruin probability varies with the interest and perturbed factor by numerical computation.

关 键 词：COX过程 破产概率 调节系数 干扰 

分 类 号：O211.67[理学—概率论与数理统计]