| 一类带扰动和附索赔风险模型的破产概率 |
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| 引用本文： | 袁海丽,胡亦钧. 一类带扰动和附索赔风险模型的破产概率[J]. 数学杂志, 2007, 27(4): 451-454 |
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| 作者姓名： | 袁海丽 胡亦钧 |
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| 作者单位： | 武汉大学数学与统计学院,湖北武汉,430072 |
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| 摘 要： | 本文研究带扰动和附索赔的风险模型.利用鞅方法,得到了破产概率的指数上界及精确表达式,推广了不带扰动的风险模型相应的结论.
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| 关 键 词： | 鞅 扰动 调节系数 破产时 破产概率 |
| 文章编号： | 0255-7797（2007）04-0451-04 |
| 修稿时间： | 2006-05-082006-11-03 |
ON THE RUIN PROBABITITY FOR A DELAYED-CLAIMS RISK MODEL PERTURBED BY DIFFUSION |
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| YUAN Hai-li,HU Yi-jun. ON THE RUIN PROBABITITY FOR A DELAYED-CLAIMS RISK MODEL PERTURBED BY DIFFUSION[J]. Journal of Mathematics, 2007, 27(4): 451-454 |
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| Authors: | YUAN Hai-li HU Yi-jun |
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| Affiliation: | School of Math. and Statistics, Wuhan University, Wuhan 430072, China |
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| Abstract: | In this paper, we discuss a delayed-claims risk model perturbed by diffusion. We give both the exponential upper bound and explicit expression for the ultimate ruin probability by martingale approach. The results obtained generalize the corresponding ones for the delayed claims risk model without diffusion. |
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| Keywords: | martingale perturbed ruin time adjustment coefficient ruin probability |
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