带扩散扰动项的广义双Poisson风险模型下的破产概率  

Ruin Probability in Risk Model with Generalized Double Poisson Process Perturbed by Diffusion

作　　者：罗建华[1] 方世祖[2] 

机构地区：[1]中南林业科技大学理学院,长沙410004 [2]广西大学数学与信息科学学院,南宁530004

出　　处：《数学理论与应用》2006年第3期102-104,共3页Mathematical Theory and Applications

基　　金：中南林业科技大学青年科学研究基金资助(2005-1101-0257)

摘　　要：本文首先在[1]-[4]讨论的基础上,将经典的破产模型推广到带扩散扰动项的广义双Po isson风险模型,即将保费收取过程和索赔总额过程同时推广到广义复合Po isson过程,以此解决在同一时刻有两张以上保单到达和两个以上顾客索赔的实际问题;接着运用鞅方法证明了破产概率满足的Lundberg不等式和一般公式在我们所建的模型下同样成立.In this paper,based on the [1]-[4],the classical ruin model is generalized to generalized double Poisson risk model with item perturbed by diffusion. We may solve the problem that more than two insurance policies and more than two claims at the same time. Next,the Lundberg inequality and the common formula for the ruin probability in our model also hold in terms of some techniques from martingale approach.

关 键 词：广义齐次Poisson过程 矩母函数 鞅 停时 调节系数 破产概率 

分 类 号：O211.67[理学—概率论与数理统计]