摘要
通过定义调节系数、应用全期望法则及Chebychev不等式,得到了广义复合二型风险模型的最终破产概率及Lundberg不等式。还对其作进一步推广,对引入利率的广义复合二项风险模型导出了该模型下的破产前一刻盈余与破产赤字的联合分布。
As far as the generalized compound binominal risk model is concerned, the ultimate ruin probability and Lundberg inequality were deduced by defining the adjustment coefficient and applying progressive mean rule and Chebychev inequality. Furthermore, the model was modified to generalized compound binominal risk model with interest rate. The expression for the joint distribution of the surplus immediately before ruin and the deficit at ruin was expressed.
基金
大理学院科研基金资助项目(2005X22)
关键词
广义复合二项风险模型
破产概率
调节系数
破产前一刻盈余
破产赤字
compound binominal risk model
the ultimate ruin probability
adjustment coefficient
the surplus immediately before ruin
the deficit at ruin
