| 一类带干扰且Cox相关的双险种风险模型 |
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| 引用本文： | 聂高琴,刘次华.一类带干扰且Cox相关的双险种风险模型[J].应用数学,2011,24(1). |
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| 作者姓名： | 聂高琴 刘次华 |
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| 作者单位： | 1. 首都经济贸易大学统计学院,北京,100070
2. 华中科技大学数学与统计学院,湖北,武汉,430074 |
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| 基金项目： | 北京市教委统计学特色专业建设项目资助; 北京市属高等学校人才强教计划资助项目——中青年骨干人才培养计划资助 |
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| 摘 要： | 在带有随机扰动的环境中,考虑保单到达及索赔到达均为Cox点过程且两类索赔到达过程相关的一类双险种风险模型.利用鞅技巧,将破产概率的指数上界推广到了更一般的情形.
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| 关 键 词： | Cox过程 破产概率 调节系数 |
A Kind of Cox Correlated Double Risk Model Disturbed by Diffusion |
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| NIE Gaoqin,LIU Cihua.A Kind of Cox Correlated Double Risk Model Disturbed by Diffusion[J].Mathematica Applicata,2011,24(1). |
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| Authors: | NIE Gaoqin LIU Cihua |
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| Institution: | NIE Gaoqin1,LIU Cihua2(1.School of Statistics,Capital University of Economics and Business,Beijing 100070,China,2.School of Mathematics and Statistics,Huazhong University of Science and Technology,Wuhan 430074,China) |
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| Abstract: | This paper considers a double risk model,with diffusion.In this model,the arrival of policy and the arrival of claims follow Cox processes,in addition,the arrival of claims are dependent.Under the general condition,the exponential upper bound of the ruin probability is derived by the martingale approach. |
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| Keywords: | Cox process Ruin probability Adjustment coefficient |
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