| 常利率下复合泊松-更新风险模型的破产问题 |
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| 引用本文： | 吴传菊,王成健.常利率下复合泊松-更新风险模型的破产问题[J].数学杂志,2014,34(2):309-318. |
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| 作者姓名： | 吴传菊 王成健 |
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| 作者单位： | 武汉科技大学冶金工业过程系统科学湖北省重点实验室;武汉科技大学理学院; |
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| 基金项目： | 湖北省教育厅基金(B20091104);冶金工业过程系统科学湖北省重点实验室(武汉科技大学)开放基金(Y201116);武汉科技大学青年发展基金(2006XZ12) |
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| 摘 要： | 本文研究了常数利率下,保费收入为复合Poisson过程,理赔到达过程为一般更新过程的风险模型.利用离散化的方法,获得了该风险模型的破产概率、破产时余额分布及破产前瞬间余额分布的级数展开式,推广了文1]和文2]中的相关结果.
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| 关 键 词： | 更新过程 破产概率 破产时余额分布 破产前瞬间余额分布 |
| 收稿时间： | 2012/1/4 0:00:00 |
| 修稿时间： | 2012/4/11 0:00:00 |
RUIN PROBLEMS IN A COMPOUND POISSON-RENEWAL RISK MODEL WITH A CONSTANT INTEREST RATE |
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| WU Chuan-ju and WANG Cheng-jian.RUIN PROBLEMS IN A COMPOUND POISSON-RENEWAL RISK MODEL WITH A CONSTANT INTEREST RATE[J].Journal of Mathematics,2014,34(2):309-318. |
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| Authors: | WU Chuan-ju and WANG Cheng-jian |
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| Institution: | Hubei Province Key Laboratory of Systems Science in Metallurgical Process, Wuhan University of Science and Technology, Wuhan 430065, China;School of Science, Wuhan University of Science and Technology, Wuhan 430065, China and School of Science, Wuhan University of Science and Technology, Wuhan 430065, China |
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| Abstract: | The compound Poisson-renewal risk model is such that the aggregate premium is a compound Poisson process and the aggregate claim is a compound renewal process. This paper considers the compound Poisson-renewal risk model with a constant interest rate. Using discretization method, we give the series expansions of ruin probability and the distributions of the surplus at ruin and immediately before ruin. So the recent relevant results of 1] and 2] are extended. |
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| Keywords: | renewal process ruin probability the deficit at ruin the surplus immediately before ruin |
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