摘要
考虑带干扰的双复合Poisson风险模型的破产概率,运用鞅方法得出破产概率满足的Lundberg不等式和一般公式,并给出当理赔额与收取的保费均服从指数分布时破产概率的具体表达式.
A double eompound Poisson processes risk model by diffusion is eonsidered.Applying martingale approach, the Iamdberg inequality and the formula of the ruin probability are obtained, and the explicit formula of the ruin probability is also obtained in case of exponential claim amounts and exponential premium incomes.
出处
《吉首大学学报（自然科学版）》
CAS
2005年第3期43-45,48,共4页
Journal of Jishou University(Natural Sciences Edition)
基金
云南省自然科学基金资助项目(2003F0015M)
关键词
干扰
复合POISSON过程
鞅
停时
破产概率
diffusion
compound Poisson process
martingale
stopping time
ruin probability
