稀疏过程在保险公司破产问题中的应用

本文讨论适用于一类人寿保险和财产保险的风险过程 ,其中保单到达服从Poisson过程 ,而描述索赔发生的计数过程为保单到达过程的 p -稀疏过程。对此模型给出了破产概率的上界并对该上界进行了随机模拟 ,同时把所得结果与经典情形进行比较

The Applications of Thinning Process in Risk Problems

In this paper we introduce a risk process that can be used to describe a class of life or non-life risk models,where the arrival of term policies follows a Poisson process and the arrival of the claims follows a p-thinning process of the arrival process.For this kind of risk model,we obtain the upper bound of the eventual ruin probability and present its stochastic simulation.We prove that the Lundberg exponent of our model is larger than the one of the classical risk model when the claims are exponentially distributed.