双复合Poisson风险模型  

Risk model with two compound Poisson processes

作　　者：方世祖[1] 罗建华[2] 

机构地区：[1]广西大学数学与信息科学学院 [2]中南林学院理学院,湖南株洲412006

出　　处：《纯粹数学与应用数学》2006年第2期271-278,共8页Pure and Applied Mathematics

摘　　要：研究了保费收取过程是复合Po isson过程,索赔总额是复合Po isson过程的风险模型,给出了不破产概率的积分表示,以及在特殊情况下不破产概率的具体表达式,并用鞅方法得出了破产概率满足的Lundberg不等式和一般公式.In this paper, the classical compound Poisson risk model is generalized to a new risk model in which the arrival of insurance policies is a compound Poisson process. The integral representations of the nonruin probability are gotten. The explicit formula of the nonruin probability is obtained in the special case. The Lundberg inequality and the common formula of the ruin probability are gotten in terms of some techniques from martingale theory.

关 键 词：风险模型 复合POISSON过程 鞅 停时 破产概率 

分 类 号：O211.67[理学—概率论与数理统计]