| 稀疏过程下变破产下限多元相依风险模型的破产概率 |
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| 引用本文： | 黄玉娟,于文广.稀疏过程下变破产下限多元相依风险模型的破产概率[J].数学的实践与认识,2012,42(6):1-6. |
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| 作者姓名： | 黄玉娟 于文广 |
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| 作者单位： | 1. 山东交通学院理学院,山东济南,250023
2. 山东财经大学保险学院,山东济南,250014 |
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| 基金项目： | 国家自然科学基金，教育部人文社会科学研究项目基金，山东省自然科学基金，山东省高等学校人文社会科学研究项目，山东省统计科研重点课题，山东交通学院院科研项目 |
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| 摘 要： | 研究了稀疏过程下多元相依风险模型在假定变破产下限的破产概率,其中索赔产生时依赖概率ρ的可能性同时产生一次续保,即续保过程是索赔的ρ-稀疏过程.运用鞅方法得到了当破产下限为某些特征函数时破产概率所满足的不等式或破产概率的具体表达式.
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| 关 键 词： | 多元风险模型 稀疏过程 破产下限 破产概率 干扰 鞅 |
Ruin Probability in a Multidimensional Dependent Risk Model of a Variable Ruin Limit under Thinning Process |
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| HUANG Yu-juan
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YU Wen-guang.Ruin Probability in a Multidimensional Dependent Risk Model of a Variable Ruin Limit under Thinning Process[J].Mathematics in Practice and Theory,2012,42(6):1-6. |
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| Authors: | HUANG Yu-juan YU Wen-guang |
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| Institution: | 1.School of Science,Shandong Jiaotong University,Jinan 250023,China) (2.School of Insurance,Shandong University of Finance and Economics,Jinan 250014,China) |
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| Abstract: | We study the probability of ruin in a multidimensional dependent risk model of a variable ruin limit under thinning process,where the claim may produce a repremium with probability p,i.e.the repremium process is the p-thinning process of the claim process. We obtain the inequalities and equalities of the probability of ruin by means of martingale approach on the assumption that the limit of ruin is especial functions. |
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| Keywords: | the multidimensional risk model thinning process the limit of ruin the probabilty of ruin diffusion Martingale |
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