索赔次数为复合Poisson-Geometric过程的双险种风险模型  

A Doubletype-Insurance Risk Model with Claim Numbers Following Compound Poisson-Geometric Process

作　　者：赵金娥[1] 王贵红 龙瑶[1] 

机构地区：[1]红河学院数学学院,云南蒙自661100 [2]玉溪农业职业技术学院计科系,云南玉溪653106

出　　处：《经济数学》2012年第1期79-84,共6页Journal of Quantitative Economics

基　　金：国家自然科学基金项目(11161020);云南省科技厅自然科学研究基金项目(2008CD186);云南省教育厅科研基金项目(2011C121)

摘　　要：对索赔次数为复合Poisson-Geometric过程的双险种风险模型进行研究,给出了生存概率所满足的积分方程、指数分布下的具体表达式及有限时间内的积分—微分方程,并利用鞅方法得到了最终破产概率的Lundberg不等式和一般公式.A doubletype-insuranee risk model was considered,whose claim numbers are a compound Poisson-Geometric process. The integral equation and the explicit expression under exponential distribution and the integral-differential equation of the survival probability were derived. Meanwhile, by applying martingale approach, the Lundberg inequality and the common formula of the ultimate ruin probability were obtained.

关 键 词：POISSON-GEOMETRIC过程 鞅 破产概率 LUNDBERG不等式 

分 类 号：O211.67[理学—概率论与数理统计]