| 经典风险模型的推广 |
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| 引用本文： | 赵永霞,尹传存.经典风险模型的推广[J].应用概率统计,2009,25(4):337-344. |
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| 作者姓名： | 赵永霞 尹传存 |
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| 作者单位： | 曲阜师范大学数学科学学院,曲阜,273165 |
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| 基金项目： | 国家自然科学基金项目，山东省自然科学基金项目 |
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| 摘 要： | 本文将经典风险模型的盈余过程推广为一谱正L\'evy过程与一从属L\'evy过程的差,利用L\'evy过程的性质和鞅方法, 得到破产概率的一些结果.对一类谱负的L\'evy过程研究了它的首达时的性质并得出了生存概率的Pollaczek-Khinchin公式.
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| 关 键 词： | L\'evy过程 破产概率 生存概率 鞅 首达时. |
A Generalization of the Classical Risk Model |
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| ZHAO YONGXIA,YIN CHUANGCUN.A Generalization of the Classical Risk Model[J].Chinese Journal of Applied Probability and Statisties,2009,25(4):337-344. |
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| Authors: | ZHAO YONGXIA YIN CHUANGCUN |
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| Institution: | Department of Mathematics, Qufu Normal University |
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| Abstract: | In this paper, we extend the classical risk processto the process, which is a spectrally negative L\'evy process minusa subordinator. Then some results of the ruin probability arederived in terms of properties of L\'evy process and some techniquesfrom martingale theory. Finally, we derive some properties ofhitting time and a Pollaczek-Khinchin type formula of the survivalprobability for a spectrally negative L\'evy process. |
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| Keywords: | L\'evy process ruin probability survival probability martingale hitting time |
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