分布可调控的随机保费下的风险过程研究

Discussion on risk process with random premium income having controllable distribution

讨论了保费收入按点过程来到,随机收取但收入分布可控制的更新风险过程,研究了这类风险过程的马氏性,得到一些特殊模型下的破产概率的积分表达式或Laplace变换,利用鞅技巧获得了一类更广泛情形下的破产概率上界.

This paper considers the renewal risk model with premium income, which has controllable distribution, arrived as point process. It then discusseds its Markov properties and obtained some integral equations or Laplace transforms of ruin probability in special case. Using martingale approach, It derives upper bound for ruin probability.