广义二元复合非齐次Poisson风险模型的破产概率

Ruin Probability for a Generalized Double Type-insurance Compound Non-homogeneous Poisson Risk Model

研究了一类双险种风险模型,其中索赔到达计数过程和保费到达计数过程(假定每次保费收入均为常数)均为非齐次Poisson过程,用鞅方法得到了有限时间破产概率的一个上界.并给出了当两个险种的个体索赔额均服从指数分布时,有限时间破产概率的上界估计.

The authors propose a double type-insurance risk model,where the claim and policies number processes are independent non-homogeneous Poisson processes.A upper bound of finite-time ruin probability is obtained by martingale approach. An example of the amounts of claims for two different exponential distributions is given.