一类推广负风险和模型的破产概率(英文)  

RUIN PROBABILITY FOR A GENERALIZED RISK MODEL WITH NEGATIVE RISK SUMS

作　　者：刘娟[1] 曹文方[2] 徐建成[1] 

机构地区：[1]湖北师范学院数学与统计学院,湖北黄石435002 [2]浙江工业职业技术学院人文社科部,浙江绍兴312000

出　　处：《数学杂志》2011年第2期271-274,共4页Journal of Mathematics

基　　金：Supported in part by Hubei Normal University post-graduate foundation (2010C16;2010C17);the Science and Technology foundation of Hubei(D20092207)

摘　　要：本文研究了带干扰的两险种负风险和模型的破产问题.利用无穷小方法,给出了该风险模型破产概率所满足的微分-积分方程,并推导出破产概率满足的Lundberg型不等式.最后指出了当索赔服从负指数分布时破产概率的上界,推广了经典风险模型的结果.In this paper,we consider a generalized risk model perturbed by diffusion involving two independent classes of insurance risks.By martingale approach,we assume that the two claim number processes are independent Poisson processes,an integro-differential equation for the ruin probability is obtained.The Lundberg inequality is derived.Finally,an example is presented.

关 键 词：扩散过程 破产概率 负风险和 

分 类 号：O211.9[理学—概率论与数理统计]