双广义泊松风险模型

The Generalized Double Poisson Risk Model

运用随机点过程理论和鞅论的方法,将风险模型中保费到达计数过程和索赔到达计数过程均推广为广义齐次泊松过程.得到了最终破产概率的一个上界和最终破产概率的表达式.

Applying the theory of stochastic point process and martingale method, both the premium arrival process and the claim counting processes are the generalized homogeneous Poisson processes in the thesis. The main results are an upper bound and an expression of finite - time ruin probability.