带投资和干扰的相依多险种风险模型的破产概率  

The ruin probability of a multiple-type risk model with dependent by investment and interference

作　　者：蒋兰青[1] 施齐焉[1] 

机构地区：[1]福州大学数学与计算机科学学院,福建福州350108

出　　处：《福州大学学报（自然科学版）》2012年第1期26-30,共5页Journal of Fuzhou University(Natural Science Edition)

摘　　要：研究一类带投资和干扰的新模型,其中保单到达过程为广义齐次Poisson过程,而两类索赔到达过程分别为保单达到过程的p-稀疏过程和q-稀疏过程.考虑到单一险种在描述风险过程中存在的局限性,将模型推广到多险种的情形,得到破产概率满足的Lundberg不等式和一般公式.We consider a new model with investment and interference,where the arrival of term policies is generalized Poisson process,and the two types of claim processes follow a p-thinning process and a q-thinning process respectively.In view of the limitation of describing the risk process with a single insurance,we extend it to a multiple-type risk model,and get the Lundberg inequality and the formula of ruin probability.

关 键 词：广义齐次Poisson过程 多险种 干扰 稀疏过程 破产概率 

分 类 号：O211.6[理学—概率论与数理统计]