广义二元复合Poisson风险模型破产概率的估计

Ruin Probability in a Generalized Double Line Compound Poisson Risk Model

本文研究了一类双险种风险模型,模型中两个险种的理赔到达计数过程和其中一个险种的保费到达计数过程均为齐次Poisson过程,得到了最终破产概率的上界估计,以及关于生存概率的Feller表示,并给出了保单收入为指数分布随机变量时的破产概率上界表示式。

This paper considers a double line risk model, where the claim number processes and one of the double policies number processes are different homogeneous poisson processes. The main results about the model are an upper bound of ruin probability and a Feller＇ s expression of non-ruin probability.