干扰条件下复合Poisson-Geometric过程的多险种风险模型下的破产概率  

Ruin probability for a compound Poisson-Geometric process of multi-risk model with interference

作　　者：于文广[1] 黄玉娟[2] 

机构地区：[1]山东经济学院统计与数学学院,山东济南250014 [2]山东交通学院数理系,山东济南250023

出　　处：《山东大学学报（理学版）》2008年第2期16-18,共3页Journal of Shandong University(Natural Science)

基　　金：国家自然科学基金资助项目(70431002)

摘　　要：对索赔到达为复合Poisson-Geometric过程的风险模型进行了推广,研究了带有干扰条件下保单到达为参数α的Poisson过程,运用鞅论的方法得出了多险种风险模型下破产概率满足的Lundberg不等式和一般公式。A risk model, which the compensation arrives to the compound Poisson-Geometric process, was generalized. The arrival of term policies with interference, which was a Poisson process with intensity a, was studied. Applying the martingle theory, the Lundberg inequality and the formula for the ruin probability were concluded.

关 键 词：破产概率 鞅 复合POISSON-GEOMETRIC过程 维纳过程 

分 类 号：O211.6[理学—概率论与数理统计] F840[理学—数学]