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带干扰风险的破产模型的研究
引用本文:贺丽娟,李萍.带干扰风险的破产模型的研究[J].数学理论与应用,2006(1).
作者姓名:贺丽娟  李萍
作者单位:华中科技大学数学系 华中科技大学数学系 武汉 430074
摘    要:本文对古典风险模型中保险公司按单位时间常数率收到保险费的假设做了改进,将每次收到的保险费的次数看作是复合泊松过程,将每次收到的保费和每次的理陪额均看作是服从指数分布的随机变量,并引入带干扰风险的扰动项,从而对古典风险模型进行推广,且给出了相应的破产概率上界,分析了破产概率的上界与准备金,索赔额,净保费和扰动方差之间的关系。

关 键 词:破产概率  保险费  理赔额  复合泊松过程  布朗运动  调节系数  

Study to a ruin model perturbed by diffusion
He Lijuan Li Ping.Study to a ruin model perturbed by diffusion[J].Mathematical Theory and Applications,2006(1).
Authors:He Lijuan Li Ping
Abstract:In this paper,the assumption that the insurance company receives the premium at a constant under the classical risk model is improved with the times that premium is received a compound Poisson process and the premium received every time and the claim are considered as random variables following exponential distribution.We present a risk model perturbed by diffusion.The upper bound of ruin probability is appropriately obtained and analysis the relation between the upper bound of ruin probability and the reserve,the claim,net preium and the variance of the diffusion.
Keywords:ruin probabitlity premium claim compund Poisson process Brown action adjustment coefficient martingale  
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