随机保费收入下的Erlang(2)风险模型  

On Erlang(2)risk model with stochastic premium income

作　　者：郭东林[1] 王永茂[1] 刘宝亮[1] 刘姣[1] 

机构地区：[1]燕山大学理学院,河北秦皇岛066004

出　　处：《燕山大学学报》2007年第5期467-470,共4页Journal of Yanshan University

摘　　要：主要对索赔计数过程是Erlang(2)过程、保费收入为复合Poisson过程的风险模型进行了讨论。利用余额过程在索赔时刻具有强马氏性,得到最终破产概率的积分方程,最后推出最终破产概率的Lundberg上界。The risk model for which the claim inter-arrival distribution is Erlang （2） and the arrival of premium income is a compound Poisson process is considered in this paper. According to the strong Markov property of surplus process at the moments of claims, the integral equation for ruin probability is derived. Finally the Lundberg upper bound for ruin probability is obtained.

关 键 词：ERLANG(2)风险模型 强马氏性 最终破产概率 Lundberg上界 

分 类 号：O211.6[理学—概率论与数理统计]