带干扰的一类相依风险模型(英文)

A dependent risk model perturbed by diffusion

本文将古典风险模型推广为带干扰的一类相依风险模型。在此风险模型中,保单到达过程为一Pois-son过程,而索赔到达过程为保单到达过程的P-稀疏过程。利用鞅的方法得到了破产概率和Lundberg不等式。

In this paper,the classical risk model is generalized as a dependent risk model perturbed by diffusion, in which the arrival of term policies follows a Poisson process and the arrival of the claims follows a p- thinning process of the arrival of term policies. By using the method of martingale, the formula and the Lundberg＇ s inequality of the ruin probability are obtained.