| 一类索赔为复合Poisson-Geometric过程双险种风险模型的破产概率 |
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| 引用本文： | 王贵红,赵金娥,龙瑶. 一类索赔为复合Poisson-Geometric过程双险种风险模型的破产概率[J]. 数学的实践与认识, 2014, 0(21) |
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| 作者姓名： | 王贵红 赵金娥 龙瑶 |
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| 作者单位： | 玉溪农业职业技术学院计科系;红河学院数学学院; |
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| 基金项目： | 国家自然科学基金(11301160);云南省科技厅自然科学基金(2013FZ116);云南省教育厅科研基金(2011C121) |
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| 摘 要： | 对索赔为复合Poisson-Geometric过程的双险种风险模型进行研究,给出了当初始资本为0及索赔额为指数分布下破产概率的具体表达式,并利用鞅方法得到了最终破产概率满足的Lundberg不等式和一般公式.
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| 关 键 词： | 复合Poisson-Geometric过程 破产概率 鞅 Lundberg不等式 |
Ruin Probability of a Double-type Insurance Risk Model with Claim Process Following Compound Poisson-Geometric Process |
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| Abstract: | A double-type insurance risk model is considered which the claim process is a compound Poisson-Geometric process.The explicit expressions of ruin probability are derived when the initial capital is zero and the claim sizes are exponentially distributed.Meanwhile,by applying martingale approach,the Lundberg's inequality and the general formula of the ultimate ruin probability are obtained. |
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| Keywords: | compound Poisson-Geometric process ruin probability martingale Lundberg's inequality |
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