带干扰变破产限风险模型的破产概率

近年来,许多文献对经典风险模型及推广后的风险模型作了研究,并得出许多有用的结论.一般的文献都是假定保险公司的破产限为零.但在实际的保险业务中,当保险公司的盈余低于某一限度(破产限)时,保险公司就要调整政策或宣布破产.本文研究了带干扰的双Cox风险模型和带干扰的双Poisson风险模型在变破产限下的破产概率,得出了破产概率所满足的不等式,而且研究了当破产限为某一特殊函数时,破产概率所满足的不等式和具体的解析式.

THE PROBABILITY OF RUIN IN THE RISK MODEL PERTURBED BY DIFFUSION WITH THE LIMIT OF RUIN IS VARIATION

The classic risk model was studied in many references recently and many useful results were gotten.Most of references assume that the limit of ruin is zero,however insurance agent will adjust its policy or declare bankruptcy when its surplus under an especial limit.In this paper,we study the probability of ruin in risk model with two Cos processes perturbed by diffusion and risk model with two Poisson processes perturbed by diffusion on the assumption that the limit of ruin is variation.We get the inequality of the probability of ruin.We give the inequalityes and equations of the probability of ruin on the assumption that the limit of ruin is expecial functions.