| 带干扰的多险种Cox风险模型的破产概率 |
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| 引用本文： | 黄玉娟,王元瑾,于文广,刘军卫. 带干扰的多险种Cox风险模型的破产概率[J]. 数学的实践与认识, 2008, 38(21) |
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| 作者姓名： | 黄玉娟 王元瑾 于文广 刘军卫 |
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| 基金项目： | 国家自然科学基金 ， 山东省自然科学基金 |
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| 摘 要： | 考虑到保险公司在实际经营中收益所具有的不确定性和风险经营的多元化,建立了一个更现实的风险模型即带干扰的多险种Cox风险模型.运用鞅论得到了该模型最终破产概率的上界,并对Lundberg不等式作了推广.
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| 关 键 词： | Cox过程 风险模型 破产概率 鞅 Lundberg不等式 |
Ruin Probability in A Cox Risk Model of Multi-risk Perturbed by Diffusion |
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| HUANG Yu-juan,WANG Yuan-jin,YU Wen-guang,LIU Jun-wei. Ruin Probability in A Cox Risk Model of Multi-risk Perturbed by Diffusion[J]. Mathematics in Practice and Theory, 2008, 38(21) |
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| Authors: | HUANG Yu-juan WANG Yuan-jin YU Wen-guang LIU Jun-wei |
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| Abstract: | Considering the uncertainties associated with the income of the insurance company and diversification of operation risk,this paper introduced a more realistic risk model,a Cox risk model of multi-risk perturbed by diffusion.By martingale the upper bound of the last probability of ruin for the new model is gotten.In addition the Lundberg inequality is improved. |
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| Keywords: | Cox process risk model ruin probability martingle Lundberg inequality |
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