含有正、负风险和风险过程的破产概率  

Ruin Probability for a Risk Process with Positive and Negative Risk Sums

作　　者：郁方明[1] 王过京[1] 

机构地区：[1]苏州大学数学系,苏州215006

出　　处：《应用概率统计》2007年第3期303-309,共7页Chinese Journal of Applied Probability and Statistics

基　　金：国家自然科学基金(No.10571132).

摘　　要：本文考虑含正风险和与负风险和风险过程的破产问题,给出该风险过程的破产概率所满足的积分-微分方程和指数不等式,研究正风险和类与负风险和类之间的相关性对破产概率的影响,并对具体实例给出数值比较结果.In this paper, we consider a risk process with positive and negative risk sums. We derive the integral-differential equation for the ruin probability. We obtain the exponential inequality for the ruin probability. We study how the dependence between the two classes of insurance business impacts on the ruin probability. Finally we give two examples to show the numerical results.

关 键 词：正 负风险和 破产概率 LUNDBERG指数 

分 类 号：O212[理学—概率论与数理统计]