一类二维风险模型的破产概率  

The Ruin Probability of a Two-dimensional Risk Model

作　　者：侯丽娟[1] 

机构地区：[1]泰山学院图书馆,山东泰安271021

出　　处：《泰山学院学报》2008年第6期48-52,共5页Journal of Taishan University

摘　　要：本文讨论了含正、负风险的和二维风险模型的破产概率问题.定义了三种不同的破产概率,并运用一维风险过程的结果得到这些破产概率的简单边界.引进参数a=(a1,a2),利用鞅方法讨论破产概率Ψa(a1u1+a2u2),得到一个关于生存概率Φa(a1u1+a2u2)的积分-微分方程.We consider a bivariate risk model with positive and negative risk sums. Three different types of ruin probabilities are defined. Using some results of one - dimensional risk process, simple bounds for the two -dimensional ruin probabilities are obtained. Introduce the parameter a（ a1, a2 ）, use the martingale method to discuss the ruin probability ψa（a1u1＋a2u2）. We derive the integral- differential equation for the ruin probability Фa（a1u1＋a2u2）

关 键 词：正 负风险模型 二维风险模型 破产概率 LUNDBERG指数 

分 类 号：O211.6[理学—概率论与数理统计]