竞争型二元风险模型破产概率

RUIN PROBABILITY IN COMPETITIVE TWO-DIMENSIONAL RISK MODEL

本文研究了竞争型的二元风险模型,定义了两类破产概率以及状态过程,利用经典风险模型的已有结果和条件期望的性质,得到两类破产概率表达式,以及单个保险公司有限时间破产概率和最终破产概率,并给出两个保险公司的状态过程的概率分布列.

We consider a competitive two-dimensional risk model. Two different types of ruin probabilities and the state process are defined for insurance market. In terms of some results of classical risk model and the property of conditional expectation, the expression of two types of ruim probabilities for insurance market and each insurance company are deduced and the distribution of the state process is obtained.