一类推广的双险种复合Poisson风险模型的破产概率  

THE RUIN PROBABILITY OF A KIND OF PROMOTED TWO-TYPE-RISK COMPOUND POISSON RISK MODEL

作　　者：陈红燕[1,2] 刘伟[2,3] 胡亦钧[2] 

机构地区：[1]中国海洋大学青岛学院,山东青岛266300 [2]武汉大学数学与统计学院,湖北武汉430072 [3]军事经济学院基础部,湖北武汉430035

出　　处：《数学杂志》2009年第2期201-205,共5页Journal of Mathematics

基　　金：国家自然科学基金资助项目(10671149)

摘　　要：本文研究了一类索赔计数过程相关的双险种Poisson风险模型.利用模型转化首先将该复杂模型转化为经典的风险模型,获得该模型破产概率所满足的积分方程,Lundberg上界表达式,及Cramér-Lundberg渐近估计式.当个体索赔具有指数分布时,推得了破产概率所满足的方程,并给出了具体的数值计算的实例.In this paper we consider a two-type-risk Poisson model with correlated claim number process. It is assumed that more than one claims occur for every risk at the same time in the model. First, this paper changes the complex model to classical complex Poisson risk model by modest transformation. By the theory acknowledges of classical risk model, we derive the integral equation, Lundberg upper boundary expression and Cramer-Lundberg approximation for the ruin probability. Finally, we obtain the equation for the ruin probability and give a numerical example when the claim sizes are exponentially distributed.

关 键 词：索赔计数过程相关 双险种Poisson过程 复合POISSON过程 破产概率 风险理论 

分 类 号：O211[理学—概率论与数理统计]