多险种复合Poisson风险模型和破产概率

Compond Poisson Risk Model for Multi-type-risk Insurance and the Ruin Probability

经典风险模型只描述了单一险种的经营模式,具有局限性,本文对多险种的复合Poisson风险模型的破产概率进行了研究。本文给出了初始资本为0时破产概率Ψ(0)的明确表达式,以及理赔量服从指数分布且初始资本为u时破产概率Ψ(u)的明确表达式。

Classical risk models for insurance are single - type - risk based, but with the limitations of this models, this pa- per studies the ruin probabilities in a multi - type compound Poisson risk model. This paper also gives a explicit expression for the ruin probability and for under the condition that claims obey an exponential distribution.