双Cox风险模型

Double Cox risk model

双Cox风险模型作为经典风险模型的一个推广,在保费的到达和理赔的发生都服从Cox过程的假定下,得到了破产概率的上界.并在假设保单的到达和理赔的发生具有相同的累积强度过程时,给出了破产概率的明确表达式.

Double Cox Risk Model is a generalization of the classical risk model when assume both the arrival of policies and the occurrence of claims are Cox process.A upper bound of the ruin probability is got and a explicit expression of Ψ(u) is given when the arrival of the policies and the occurrence of the claims have the same intensity process.