一类保费随机收取的多险种风险模型  

A multi-type risk model with random premium income

作　　者：黄玉娟[1] 李爱芹[1] 于文广[2] 张春明[1] 

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

出　　处：《合肥工业大学学报（自然科学版）》2009年第2期219-221,共3页Journal of Hefei University of Technology：Natural Science

基　　金：教育部人文社会科学研究资助项目(08JA910003);山东省统计科研重点课题资助项目(KT0846)

摘　　要：文章对经典风险模型进行了推广,考虑了多险种的离散风险模型。特别地,对保单达到收取的保费是一个随机变量进行了研究,通过鞅方法分析了获利过程的性质,得到了调节系数方程及相应的破产概率的上限,最后给出了初始资本为u≥0的破产概率的精确表达式。In this paper, the classical risk model is generalized, and the discrete multi-type risk model is considered. In particular, the discrete risk model is discussed when the premium has random variables. The properties of the surplus process are analyzed by using the martingale method. The adjustment coefficient equation is established and the corresponding upper bound of probability is obtained. The formulas of ultimate ruin probabilities are given as the initial capital u≥0.

关 键 词：离散风险模型 破产概率 调节系数 盈余过程 鞅 

分 类 号：O211.6[理学—概率论与数理统计] F840[理学—数学]