一类带双稀疏过程的双险种风险模型  

A Doubletype-Insurance Risk Model with Double Thinning Process

作　　者：李学锋[1] 杨薇娜[1] 

机构地区：[1]中南民族大学数学与统计学学院,武汉430074

出　　处：《中南民族大学学报（自然科学版）》2013年第4期111-114,共4页Journal of South-Central University for Nationalities：Natural Science Edition

摘　　要：讨论了一类带干扰且索赔为双稀疏过程的双险种风险模型.该模型假设两险种的保费收入均为复合Poisson过程,而两险种的索赔到达过程均为保单到达过程的稀疏过程,并考虑到随机扰动、保险公司的投资利率和通货膨胀率,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, we consider a kind of doubletype-insurance risk model with claims following double thinning process. In the model, the premium income of the two insurance follow compound Poisson processes and the arrival of the claims follows two thinning process of the arrival of the insurance policies. Moreover, we take the random disturbance, the investment interest rate of the insurance company and the inflation rate into account. By using martingale analysis, the Lundberg inequality and the accurate expression of ruin probability under this model are obtained.

关 键 词：POISSON过程 稀疏过程 破产概率 鞅 LUNDBERG不等式 

分 类 号：O211[理学—概率论与数理统计] F840[理学—数学]