| 一类推广的复合Poisson-Geometric相依风险模型的破产概率 |
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| 引用本文： | 吕东东,赵明清,李发高.一类推广的复合Poisson-Geometric相依风险模型的破产概率[J].经济数学,2013(4):71-75. |
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| 作者姓名： | 吕东东 赵明清 李发高 |
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| 作者单位： | 山东科技大学信息科学与工程学院,山东青岛266590 |
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| 基金项目： | 山东省中青年科学家科研奖励基金项目（BS2012SF023）;山东省研究生教育创新计划项目（SDYY11027） |
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| 摘 要： | 研究了一类推广的复合Poisson—Geometric风险相依模型．利用盈余过程的鞅性，得到了破产概率公式以及破产概率所满足的积分方程和Cramer—Lundberg逼近．最后给出了索赔额服从指数分布时Cramer-Lundberg逼近的精确表达式．
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| 关 键 词： | 复合Poisson—Geometric过程 鞅 破产概率 索赔相依 Cramer～Lundberg逼近 |
The Ruin Probability for Correlated Aggregate Claims with A Generalized Compound Poisson-Geometric Risk Model |
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| LV Dong-dong,ZHAO Ming-qing,LI Fa-gao.The Ruin Probability for Correlated Aggregate Claims with A Generalized Compound Poisson-Geometric Risk Model[J].Mathematics in Economics,2013(4):71-75. |
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| Authors: | LV Dong-dong ZHAO Ming-qing LI Fa-gao |
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| Institution: | (College of Information Science and Engineering, Shan Dong university of Science and Technology,Qingdao, Shandong 266590, China) |
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| Abstract: | This paper studied correlated aggregate claims with a generalized compound Poisson-Geometric risk model. Using martingale property of the surplus process, the formulas of ruin probability, the integral equation of the probability and the Cramer-Lundberg approximation were obtained. Finally, the explicit expression of the Cramer-Lundberg approximation was given when the claim is exponential distribution. |
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| Keywords: | compound Poisson-Geometric process martingale ruin probability correlated aggregate claims Cramer-Lundberg approximation |
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