带干扰的双Cox风险模型的破产概率  

RUIN PROBABILITIES IN DOUBLE COX RISK MODEL PERTURBED BY BROWNIAN MOTION

作　　者：刘宝亮[1] 王永茂[1] 李静霞[1] 

机构地区：[1]燕山大学理学院,秦皇岛066044

出　　处：《经济数学》2006年第3期243-246,共4页Journal of Quantitative Economics

摘　　要：对于受布朗运动干扰的双Cox模型,用鞅方法得到了估计其破产概率上界的Lundberg不等式,并对Lundberg不等式进行了推广.In this paper, for the double Cox risk model perturbed by a Brownian motion, the generalized Lundberg inequality of the ruin probabilities is obtained by using Martingale techniques, and we improved the inequality.

关 键 词：COX过程 破产概率 干扰 LUNDBERG不等式 

分 类 号：O211.9[理学—概率论与数理统计]