摘要
推广了经典的复合泊松风险模型,建立了复合广义齐次poisson过程的多险种破产模型,并且考虑了随机利率因素,使得该模型更加具有实际意义．同时导出了随机利率下初始资本为u的破产概率(?)(u)的精确表达式,建立了调节系数方程,估计了调节系数的上下界．
In this paper, the classical compound poisson risk model is generalized and the multitype-insurance ruin model is set up. At the same time, the stochastic interest is considered so that the ruin modelhas more significance in practice. In addition, the ruin probability ψ（u） of the initial capital u with stochastic interest is derived with adjustment coefficient equation established and the adjustment coefficient R estimated.
出处
《临沂师范学院学报》
2006年第6期9-13,共5页
Journal of Linyi Teachers' College
关键词
随机利率
破产概率
复合广义齐次poisson过程
矩母函数
调节系数
stochastic interest
ruin probability
compound generalized homogeneous poisson process
moment generating function
adjustment coefficient
