摘要
考虑到保险公司在实际经营中收益所具有的不确定性和分红策略,建立一类具有线性红利界和带随机扰动的双复合Poisson风险模型,利用鞅方法给出模型关于破产概率的一个定理及上界.
Takeing into account the actual operating of an insurance company with random income and the dividends strategy, a double compound poisson processes risk model with perturbancl under a linear dividend barrier was established. By using martingale ,the formula and the upper bound of ruin probability in this new model were obtained.
出处
《经济数学》
北大核心
2011年第1期85-88,共4页
Journal of Quantitative Economics
基金
云南省教育厅科学研究基金资助(08C0179)
关键词
线性红利界
干扰
双复合Poisson风险模型
破产概率
linear dividend barrier
perturbance
the risk model with double compound poisson processes
ruin probability
