复合Poisson-geometric风险模型下第n次索赔时的破产概率研究  

The Probability of Ruin at the nth Claim with Compound Poisson-geometric Risk Model

作　　者：田飞[1] 王传玉[1] 张大伟[1] 

机构地区：[1]安徽工程大学数理学院,芜湖241000

出　　处：《数学理论与应用》2013年第4期15-22,共8页Mathematical Theory and Applications

基　　金：国家自然科学基金项目(61203139);安徽省重点教研项目(2012jyxm277)

摘　　要：在复合Poisson-geometric风险模型下,通过构造一个特殊的Gerber-Shiu函数,推导出此风险模型下Gerber-Shiu函数满足的更新方程,破产时刻和直到破产时的索赔次数的联合密度函数,得到了第n次索赔时的破产概率的数学表达式.For the compound Poiss.on - geometric risk model, we derive the renewal equation of the Gerber - Shiu function by constructing a peculiar Gerber - Shiu function, obtain the joint probability density function of the time of ruin and the number of claims until ruin, and find the formula of ruin probability when ruin occurs at the time of the nth claim.

关 键 词：POISSON-GEOMETRIC过程 索赔次数 GERBER-SHIU函数 破产概率 

分 类 号：F840[经济管理—保险] F224