几类离散时间二元风险模型的破产概率及比较

Ruin probability based on several categories of discrete-time bivariate risk models and comparison between them

将离散时间双Poisson模型推广到双险种情形,依据双险种的独立和相依结构分别得出三类风险过程,并将此三类过程转化为单险种双Poisson模型,给出三类过程在有限时间内破产概率的数值解.证明离散时间双Pois-son模型满足Lundberg不等式,并比较推广后的三类过程的调节系数.

The discrete-time dual Poisson model was extended to the case of double-risk and based on the independent and dependent structures of the double-risk, three-category risk process were driven and then transformed into the dual Poisson model with one risk. Next, the numerical solutions of the finite-time ruin probability were given. Finally, it was proved that the discrete-time dual Poisson model satisfied the Lundberg inequality and the adiustment coefficients of the three-category process were compared to each other.