投资收益下的两类双负二项风险模型的破产概率  

Ruin Probabilities and Comparison for Two Different Double Negative Binomial Model with Investment

作　　者：刘东海[1] 彭丹[1] 刘再明[2] 

机构地区：[1]湖南科技大学数学与计算科学学院,湖南湘潭411201 [2]中南大学数学科学与计算技术学院,湖南长沙410075

出　　处：《华东交通大学学报》2008年第4期94-96,共3页Journal of East China Jiaotong University

基　　金：国家自然科学基金资助项目(10771216);湖南省自然科学基金资助项目(06JJ20019);湖南科技大学基金资助项目(E50833)

摘　　要：在单位时间内保费收取次数和理赔次数均服从负二项分布的基础上,讨论了投资收益率为常数和投资收益率为一随机序列的两类双负二项风险模型.运用鞅论的方法给出了关于它们破产概率的一个定理,并推导出了相应风险模型的破产概率的上界,为保险公司的运营提供了决策依据.Based on the fact that the number of premiums and claims is subject to negative binomial distribution in the unit time, the paper discusses the double negative binomial model for two different risk processes with investment, which include one with constant investment rate, the other with a random sequence investment rate. We obtain a theorem with their ruin probabilities and obtain its upper bound by using martingale method. The conclusion provide the decision-making basis for the operations of insurance companies.

关 键 词：风险模型 破产概率 投资收益 

分 类 号：O211.62[理学—概率论与数理统计]