| 一类盈余过程的破产概率及其应用 |
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| 引用本文： | 杨亚松,汪荣明.一类盈余过程的破产概率及其应用[J].应用数学与计算数学学报,2004,18(1):1-8. |
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| 作者姓名： | 杨亚松 汪荣明 |
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| 作者单位： | 华东师范大学统计系,上海,200062 |
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| 基金项目： | 国家社会科学基金(项目批准号:03BTJ006)，国家自然科学基金(项目批准号: 70271001)资助课题 |
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| 摘 要： | 本文给出了复合Poisson盈余过程在其个体理赔量服从两个指数分布的混合 分布时破产概率的显示解,并研究了此情形下破产概率的Lundberg界.作为应用,给出 了一种计算一般复合Poisson盈余过程破产概率的近似方法.
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| 关 键 词： | 盈余过程 破产概率 Lundberg界 矩拟合 |
| 修稿时间： | 2003年5月22日 |
The Ruin Probability of a Series of Surplus Process and Its Application |
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| Yang Yasong Wang Rongming,Statistics.The Ruin Probability of a Series of Surplus Process and Its Application[J].Communication on Applied Mathematics and Computation,2004,18(1):1-8. |
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| Authors: | Yang Yasong Wang Rongming Statistics |
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| Institution: | Yang Yasong Wang Rongming
Statistics Department,East China Normal University,Shanghai 200062 |
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| Abstract: | This paper gives a close form of the ruin probability of a compound Poisson surplus process with its individual claim amount distributing as a mixing of two exponentials, and the Lundberg bounds are studied under this condition. As an application, an approximation of the ruin probability of a general Poisson surplus process is given. |
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| Keywords: | surplus process ruin probability Lundberg bound moment fitting |
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