一类带干扰的双险种风险模型破产概率的鞅分析  

Martingale analysis of insurance risk model of bankruptcy with perturbed random collection of insurance

作　　者：宋春艳[1] 孔繁亮[1] 

机构地区：[1]哈尔滨理工大学数学系,150080

出　　处：《哈尔滨商业大学学报（自然科学版）》2011年第3期312-314,共3页Journal of Harbin University of Commerce：Natural Sciences Edition

基　　金：国家自然科学基金(10771046)

摘　　要：在经典带干扰Poisson模型的基础上,假设理赔额到达过程和保单的到达过程为泊松过程,保单的保费和各险种的理赔额均为随机序列,并考虑到保险公司的投资利率的通货膨胀率,讨论了一类带干扰的保费随机收取的双险种风险模型.利用鞅分析得到了该模型下破产概率的Lundberg不等式及其精确表达式.In this paper, based on the classical Poisson model with interference, assumed that the arrival process of the amount of claim and the insurance policy as the Poisson process, both the policy premiums and the insurance settlement of claims were random sequences; Took the inflation rate of the insurance company＇ s investment interest rates into account, a kind of perturbed random premium dual - risk model was discussed. And used martingale analysis to derive the Lundberg inequality and its accurate expression of ruin probability under this model.

关 键 词：破产概率 LUNDBERG不等式 鞅 风险模型 

分 类 号：O29[理学—应用数学]