索赔为稀疏过程的n重风险模型  

The n-fold risk model with the claims which are thinning process

作　　者：王汉芹[1] 金燕生[1] 刘媛媛[1] 

机构地区：[1]燕山大学理学院,秦皇岛066004

出　　处：《黑龙江大学自然科学学报》2014年第1期41-45,共5页Journal of Natural Science of Heilongjiang University

基　　金：河北省自然科学基金资助项目(G201220313)

摘　　要：考虑保险公司经营险种的数量,保费收取方式及保费到达过程和索赔到达过程的关系,有必要考虑一种新的风险模型。引进一种新的n重风险模型,其中索赔过程为保费到达的p-稀疏过程,即发生一次保费时以概率p发生一次索赔。利用复合Poisson过程的相关性质和鞅论,得出了新模型下调节系数满足的方程,给出了调节系数上下界的证明方法,最后得到了最终破产概率的一般表达式和上界。Considering that the number of risks insurance company operates, the way of receiving premium and the relation between premium arrival process and claim arrival process, it＇ s necessary to consider a new risk model. A new n-fold risk model is introduced, where the claim process is a p- thinning process of the premium arrival process, that is, when premium happens then claim will happen in p probability. Using the related properties of the compound Poisson process and martingale theory, the equation on adjustment coefficient is obtained, a method for proving the upper and lower bounds of the adjustment coefficient is given, the general expression and the upper bound of the ruin probability under new model are obtained.

关 键 词：关键词 n重风险 复合POISSON过程 P-稀疏过程 调节系数 破产概率 

分 类 号：O211.9[理学—概率论与数理统计]