| 带干扰的两类不同风险模型的比较 |
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| 引用本文： | 罗葵,王光明. 带干扰的两类不同风险模型的比较[J]. 数学杂志, 2011, 31(5) |
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| 作者姓名： | 罗葵 王光明 |
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| 作者单位： | 1. 深圳职业技术学院工业中心,广东深圳,518055
2. 招商银行金融市场部,广东深圳,518040 |
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| 摘 要： | 本文比较了带干扰的两类不同风险模型.首先研究了在不同保费计算原理下各风险业务的相关性是如何影响保费率计算的,进而通过鞅方法推导出两类模型破产概率的Lundberg指数和Lundberg不等式,最后比较了在不同保费计算原理下两类模型的Lundberg指数的性质.
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| 关 键 词： | 破产概率 Lundberg不等式 Lundberg指数 扩散 |
COMPARISON OF TWO DIFFERENT RISK MODELS PERTURBED BY DIFFUSION |
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| LUO Kui,WANG Guang-ming. COMPARISON OF TWO DIFFERENT RISK MODELS PERTURBED BY DIFFUSION[J]. Journal of Mathematics, 2011, 31(5) |
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| Authors: | LUO Kui WANG Guang-ming |
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| Affiliation: | LUO Kui 1,WANG Guang-ming 2 (1.Industrial Training Centre,Shenzhen Polytechnic,Shenzhen 518055,China) (2.Global Markets Department,China Merchants Bank,Shenzhen 518040,China) |
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| Abstract: | In this article,the authors compare two different risk processes perturbed by diffusion.The authors first study how the dependence between the classes of business influence on calculation of the premium according to different premium principles.Then their Lundberg exponents and Lundberg inequalities are concluded through martingale theory.Finally,the authors compare the Lundberg exponents of these two models under different premium principles. |
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| Keywords: | ruin probability Lundberg exponent Lundberg inequality diffusion |
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