一类带干扰的两相依风险模型的破产概率

Ruin probability in two dependent risk model perturbed by difusion

将考虑带干扰的广义双复合Poisson模型,并用时间序列模型来刻画保费收入过程和索赔过程的两相依情况。运用鞅方法讨论了该模型破产概率的指数和非指数上界。

In this paper, we consider the risk model with double generalized compound Poisson disturbance, and use time series model to model both the claim process and the premium process. Both exponential and non - exponential upper bounds are given for the ruin probability by means of martingale method.