一类推广的复合Poisson模型的赤字分布  

Deficit distribution for a class of generalized compound Poisson model

作　　者：包振华[1] 张磊[1] 

机构地区：[1]辽宁师范大学数学学院,辽宁大连116029

出　　处：《辽宁师范大学学报（自然科学版）》2010年第1期4-7,共4页Journal of Liaoning Normal University:Natural Science Edition

基　　金：辽宁省教育厅高等学校科研项目(2009A423)

摘　　要：经典的SparreAndersen风险模型假设保费收入过程为时间的线性函数.研究一类推广的复合Poisson模型,其中保费收入过程是一个独立于索赔过程的Poisson过程.对于此类风险模型,利用破产概率及赤字分布所满足的瑕疵更新方程给出了赤字分布的显示解,并且利用这个显示解得到了关于赤字分布的一个下界估计.In the classical Sparre Andersen risk model, the premium income process is assumed to be the linear function of time. In the present paper we study a class of generalized compound Poisson model, in which the premium income process is another Poisson process independent of claim process. For the generalized model, we obtain an explicit expression for the deficit by using the defective renewal equations satisfied by the ultimate ruin probability and deficit distribution, which in turn helps one obtain the estimation of lower bound for the deficit.

关 键 词：推广的复合Poisson模型 赤字分布 最终破产概率 

分 类 号：O211.4[理学—概率论与数理统计]