基于进入过程带扰动风险模型的破产概率

Ruin probability of entrance processes based insurance risk model with perturbation

在风险市场中,索赔过程是受保单过程驱动的,基于此思想,学者们提出了一类新的基于进入过程的非寿险保险风险模型。在简化上述模型的基础上,考虑了一类带布朗运动干扰的风险保险模型,利用鞅方法给出了该模型破产概率的显式表达式以及它的一个上界估计。

In the risk market, the claim number process is driven by the policy issuing process. Based on this idea, researchers presented a new entrance process based non-life insurance risk model. In this paper, one kind of simplified entrance processes based insurance risk model with perturbation which is described by a Brownian motion was investigated . Using the martingale method, the explicit expression and an upper bound estimation of the ruin probability of the model were presented.