带干扰的双险种cox风险模型

A cox risk model of double line perturbed by diffusion

基于保险公司在实际经营中收益所具有的不确定性,在现有文献模型的基础上建立了一个更现实的风险模型即带干扰的双险种cox风险模型.运用鞅论对该模型破产概率进行了研究,得到了它的lundberg上界,并给出特殊情况下破产概率的Fell表示,可合理地估计保险公司的破产概率.

Considering the uncertainties associated with the income of the insurance company, the authors introduced a more realistic risk model, a cox risk model of double line perturbed by diffusion. By martingale the upper bound for the ruin probability of the new model was gotten and the Fell expresson for the ruin probability under a special condition presented which satisfies certain integro equation. Thus it provide a theory to estimate the ruin probability of insurance company.