改进后的复合Poisson-Geometric风险模型的破产概率  

The Ruin Probability of an Improved Poisson-Geometric Risk Model

作　　者：韩建勤[1] 乔克林[1] 

机构地区：[1]延安大学数学与计算机科学学院,陕西延安716000

出　　处：《延安大学学报（自然科学版）》2016年第3期22-24,共3页Journal of Yan'an University：Natural Science Edition

基　　金：陕西省教育厅专项科研计划项目(2013JK0576);延安市科学技术研究发展计划项目(2014ZC-6);延安大学研究生教育创新计划项目(YCX201610)

摘　　要：建立了保费收入服从复合负二项过程,理赔量服从复合Poisson-Geometric过程的带投资的干扰风险模型,通过对盈余过程性质的研究,得到该模型的最终破产概率公式和破产概率上界的Lundberg不等式,以及当个体保费收入和理赔额同时服从指数分布时的破产概率的具体表达式。In this paper,we defined the investment risk model with interference in which the premium income follows a compound negative binomial processes and the claim numbers follows a compound Poisson -Geometric process. Through analyzing the properties of the surplus process, the ultimate ruin probability and the Lundberg inequality formula of upper bound for ruin probability were obtained. Finally, we got the formula of the ruin probabilities in case of exponential premium and claim amounts.

关 键 词：负二项过程 POISSON-GEOMETRIC过程 破产概率 LUNDBERG不等式 

分 类 号：O211.5[理学—概率论与数理统计]