一类索赔为复合Poisson-Geometric过程双险种风险模型的破产概率  

Ruin Probability of a Double-type Insurance Risk Model with Claim Process Following Compound Poisson-Geometric Process

作　　者：王贵红 赵金娥[2] 龙瑶[2] 

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

出　　处：《数学的实践与认识》2014年第21期6-12,共7页Mathematics in Practice and Theory

基　　金：国家自然科学基金(11301160);云南省科技厅自然科学基金(2013FZ116);云南省教育厅科研基金(2011C121)

摘　　要：对索赔为复合Poisson-Geometric过程的双险种风险模型进行研究,给出了当初始资本为0及索赔额为指数分布下破产概率的具体表达式,并利用鞅方法得到了最终破产概率满足的Lundberg不等式和一般公式.A double-type insurance risk model is considered which the claim process ts a compound Poisson-Geometric pr0cess.The explicit expressions of ruin probability are derived when the initial capital is zero and the claim sizes are exponentially distributed. Meanwhile,by applying martingale approach, the Lundberg＇s inequality and the general formula of the ultimate ruin probability are obtained.

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

分 类 号：F840.4[经济管理—保险] F224