广义复合Poisson对偶风险模型的破产理论研究  

Ruin theory of a generalized compound Poisson dual risk model

作　　者：邹娓[1] 谢杰华 谢盛宜 ZOU Wei;XIE Jiehua;XIE Shengyi(School of Science,Nanchang Institute of Technology,Nanchang 330099,China;School of Businese Adminstrations,Nacharg Insititute of Technology,Nanchang 330099,China;Han’s Lacer Technology Industry Group Co.Ltd.,Shenzhen 518000,China)

机构地区：[1]南昌工程学院理学院,江西南昌330099 [2]南昌工程学院工商管理学院,江西南昌330099 [3]大族激光科技产业集团股份有限公司,广东深圳518000

出　　处：《南昌工程学院学报》2019年第4期92-97,共6页Journal of Nanchang Institute of Technology

基　　金：江西省教育厅科学技术研究项目(GJJ151101,GJJ151116);江西省社科规划项目(16YJ28);江西省高校人文社科项目(GL17248,JC17240);江西省自然科学基金资助项目(20181BAB211003,20192BAB211006)

摘　　要：为了刻画同一时刻有两次以上收入发生的情形,扩大模型的适用范围,将经典的对偶风险模型进行了推广,建立了广义复合Poisson对偶风险模型。给出了此类对偶风险模型破产概率所满足的积分-微分方程,得出了破产概率的表达式,并将此类对偶风险模型的破产概率和经典对偶风险模型的破产概率进行了比较。所得结果推广了经典对偶风险模型的相应结果,所建立的对偶风险模型可以作为经典对偶风险模型的有益补充。In order to describe the situation in which one gets income twice or several times simultaneously and expand the application range of the model,a generalized compound Poisson dual risk model is considered. The integro-differential equation of the ruin probability for this dual risk model is obtained,and then the explicit expression of the ruin probability is derived. We also compare the ruin probability of this dual risk model with the one of the classical dual risk model. The results obtained enrich the content of ruin theory.

关 键 词：广义复合Poisson过程 对偶风险模型 破产概率 

分 类 号：O211.6[理学—概率论与数理统计] F840[理学—数学]