一类推广的复合Poisson-Geometric风险模型破产概率  

THE RUIN PROBABILITY FOR A GENERALIIZED COMPOUND POISSON-GEOMETRIC RISK MODEL

作　　者：张淑娜[1,2] 陈红燕[1] 胡亦钧[1] 

机构地区：[1]武汉大学数学与统计学院,湖北武汉430072 [2]华豫学院数学与计算机科学系,河南商丘476000

出　　处：《数学杂志》2009年第4期567-572,共6页Journal of Mathematics

基　　金：国家自然科学基金资助项目(10671149)

摘　　要：本文主要研究了一类推广的复合Poisson-Geometric风险模型.利用鞅方法和微分方法,获得破产概率公式和破产概率的积分方程,并给出了保单价和索赔额服从指数分布时破产概率的显式表达式.The paper mainly study a generalized compound Poisson-Geometric risk model. By martingale approach and renewal approach, we derive the formulas and the integral equation of the ruin probability for the corresponding model, and give an explicit expression of ruin probability when the prices of insurance policy and claim sizes are exponentially distributed.

关 键 词：风险模型 复合Poisson-Geometric分布 鞅 破产概率 积分方程 

分 类 号：O211[理学—概率论与数理统计]