| 一个风险模型的研究 |
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| 引用本文： | 方世祖,聂赞坎.一个风险模型的研究[J].高校应用数学学报(A辑),2004,19(4):445-450. |
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| 作者姓名： | 方世祖 聂赞坎 |
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| 作者单位： | 西安交通大学,理学院,陕西,西安,710049;广西大学,数学与信息科学学院,广西,南宁,530004;西安交通大学,理学院,陕西,西安,710049 |
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| 摘 要： | 研究了索赔到达过程为平稳无后效流，保单到达过程为平稳无后效流，并带扩散扰动项的盈余过程．讨论了该盈余过程的马尔科夫性和鞅性．然后用鞅方法得到其破产概率的表达式及其相应的Lundberg不等式．
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| 关 键 词： | 盈余过程 平稳无后效流 Wiener过程 马尔科夫性 鞅 破产概率 |
| 文章编号： | 1000-4424(2004)04-0445-06 |
Study of a risk model |
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| FANG Shi-zu.Study of a risk model[J].Applied Mathematics A Journal of Chinese Universities,2004,19(4):445-450. |
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| Authors: | FANG Shi-zu |
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| Institution: | FANG Shi-zu~ |
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| Abstract: | In this paper,a kind of insurance risk process perturbed by diffusion is studied under the conditions that the premium arrival process is a finite stream of random events with independent increments,the premium arrival process is another finite stream of random events with independent increments. The martingale property and the strong Markov property of this kind of surplus process are discussed. By a martingale method its ruin probability and Lundberg's inequality are obtained. |
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| Keywords: | Surplus process finite stream of random events with independent increments Wiener process Markov property martingale ruin probability |
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