带扰动的相关负风险和模型

The Correlated Negative Risk Sums Perturbed by Brownian Motion

引进带干扰的相关负风险和模型,研究了模型的一些性质和数字特征,利用鞅的理论得到了破产概率的具体表达式.此外,还得出了Lundberg指数R的一个上界.

For the correlated negative risk sums perturbed by Brownian motion, some propertis and the numeric characteristic are given, the explicit expression about the ruin probability is obtained by using Martingale techniques, Further more, we deduced an upper bound for the Lundbergexponent.