稀疏过程在带干扰的多险种风险模型中的应用

The Applications of Thinning Process in the Multiple Line Risk Model Perturbed by Diffusion

利用Poisson过程在随机选择下的不变性,讨论带干扰的索赔为稀疏过程的多险种风险模型的破产概率,并证明Lundberg不等式Ψ(u)≤e-Ru和破产概率的一般公式Ψ(u)=E[exp(-RRe(-TRuu))Tu<∞]成立.

By using the invariance of the Poisson premium process in stochastic selection, the article discusses perturbed claims are ruin probability of the multiple line risk model in thinning process. The Lundberg inequality Ψ（u）≤e^-Ru and the common formula tor the ruin probability： Ψ（u）=e^-Ru/E[exp（-RR（Tu））Tu〈∞] are proved.