退保因素影响下多险种风险模型的破产概率  

The ruin probability of a multi-type risk model with refunding

作　　者：王永茂[1] 高阳[1] 李杰[1] 

机构地区：[1]燕山大学理学院,河北秦皇岛066004

出　　处：《扬州大学学报（自然科学版）》2012年第3期20-22,26,共4页Journal of Yangzhou University：Natural Science Edition

基　　金：河北省教育厅自然科学基金研究计划项目(Z2008136)

摘　　要：建立了一个退保因素影响下基于进入过程的多险种风险模型,其中保费的收取服从Poisson过程,索赔过程和退保过程由进入过程的随机选择生成.运用鞅方法讨论了该模型盈余过程的性质,给出最终破产概率的一般表达式和Lundberg上界,并得到在保费、索赔额、退保费均服从指数分布条件下的破产概率的具体表达式.In this article, the ruin probability is studied in a multi-type risk model under the connec- tion that the model is based on into-process process and the arrival of the claims is considered, where the charge of premium is Poisson distribution, and the occurrence of the refunding and claims is generated as random choose of the into-process process. The author studies the nature of this model in use of martingale theory, gets the Lundberg inequality and the formula of the ruin proba- bility. This paper also gives an explicit expression for the ruin probability with that the claims, pre- mium income and the occurrence of the refunding all obey an exponential distribution.

关 键 词：多险种 破产概率 退保 POISSON过程 

分 类 号：O211.9[理学—概率论与数理统计] F840[理学—数学]