经典风险模型的推广  

A Generalization of the Classical Risk Model

作　　者：赵永霞[1] 尹传存[1] 

机构地区：[1]曲阜师范大学数学科学学院,曲阜273165

出　　处：《应用概率统计》2009年第4期337-344,共8页Chinese Journal of Applied Probability and Statistics

基　　金：国家自然科学基金项目(10471076;10771119);山东省自然科学基金项目(Y2004A06)资助

摘　　要：本文将经典风险模型的盈余过程推广为一谱正L(?)vy过程与一从属L(?)vy过程的差,利用L(?)vy过程的性质和鞅方法,得到破产概率的一些结果.对一类谱负的L(?)vy过程研究了它的首达时的性质并得出了生存概率的Pollaczek-Khinchin公式.In this paper, we extend the classical risk process to the process, which is a spectrally negative Lévy process minus a subordinator. Then some results of the ruin probability are derived in terms of properties of Lévy process and some techniques from martingale theory. Finally, we derive some properties of hitting time and a Pollaczek-Khinchin type formula of the survival probability for a spectrally negative Lévy process.

关 键 词：LÉVY过程 破产概率 生存概率 鞅 首达时 

分 类 号：O211.6[理学—概率论与数理统计]