一类带干扰的双险种风险模型下的破产概率  

作　　者：袁蓓[1] 张振力[2] 

机构地区：[1]中南大学数学科学与计算技术学院,湖南长沙410075 [2]西北农林科技大学理学院,陕西杨凌712100

出　　处：《黑龙江科技信息》2009年第30期3-3,158,共2页Heilongjiang Science and Technology Information

摘　　要：在经典风险模型的基础上,本文建立了更符合实际的破产模型,假设理赔和保单的到达过程是Poisson过程,保单的保费和各险种的理赔额均为随机序列,考虑到保险公司的投资利率和通货膨胀率,并且在模型中加了随机干扰项,分析了盈利过程的性质,得出了调节系数方程及相应的破产概率的上限.Based on the classical risk model, in this paper a more realistic ruin model has been constructed. We assume that the arriving processes of claims and insurance policy are both Poisson process,and that the insurance premium and all claims are random time-series. Consider the investment yield of insurance company and inflation rate and add the diffusion to this model. The properties of surplus process are discussed ,ajustment coefficient equation and the upper bound of probability is obtained.

关 键 词：破产概率 调节系数 维纳过程 干扰 

分 类 号：O211.67[理学—概率论与数理统计] O175.13[理学—数学]