一类推广后的双Poisson风险模型破产概率的鞅分析  

The Ruin Probability of a Generalized Risk Model with Two Poisson Processes by Martingale Analysis

作　　者：韩丽[1] 孔繁亮[1] 

机构地区：[1]哈尔滨理工大学数学系,哈尔滨市南岗区学府路52号150080

出　　处：《数理统计与管理》2007年第1期53-56,共4页Journal of Applied Statistics and Management

基　　金：国家自然科学基金资助(10371027)

摘　　要：本文将双复合Poisson风险模型推广到资金利率和通货膨胀率下带干扰的新模型,运用鞅分析方法获得了其破产概率所满足的Lundberg不等式及其一般表达式。In this paper,considering capital interest rate and inflatable rate,we set up a new risk model with two Poisson processes, Then by the method of martingale analysis, we get Lundberg inequality and general formula of the rin probability in this new model.

关 键 词：资金利率 风险模型 干扰 鞅分析 破产概率 

分 类 号：O212.67[理学—概率论与数理统计]