| 带干扰的多险种风险模型 |
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| 引用本文： | 沈爱婷.带干扰的多险种风险模型[J].数学理论与应用,2006(1). |
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| 作者姓名： | 沈爱婷 |
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| 作者单位： | 合肥工业大学理学院 合肥 230039 |
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| 摘 要： | 由于保险公司风险经营规模不断扩大,用单一险种的模型来描述风险过程存在局限性,本文讨论了带干扰多险种风险模型,应用鞅论方法,得出伦德伯格不等式和最终破产概率公式。
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| 关 键 词： | 多险种 干扰 鞅 停时 伦德伯格不等式 破产概率 |
Multiple line risk model pertured by diffusion |
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| Du Xueqiao Shen Aiting.Multiple line risk model pertured by diffusion[J].Mathematical Theory and Applications,2006(1). |
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| Authors: | Du Xueqiao Shen Aiting |
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| Abstract: | With continously expanding of the risk operation's size form insurance companies,there is a limitation to the generalized risk model.Therefore,the multiple line risk model has been constructed.By the method of martingale,we prove the Lunderg inequality and formula on the ruin probability. |
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| Keywords: | multiple line diffusion martingale stopping time Lunderginequality ruin probability |
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