摘要
建立了常利率下保险费随机收取的双险种风险模型,用鞅方法得到破产概率的一般公式及Lundberg不等式,给出了当理赔额与收取的保险费均服从指数分布时破产概率的具体表达式,并通过数值计算分析了利率因素对调节系数和破产概率的影响.
A doubletype-insurance risk model of random premium income under the constant interest is set up.Applying martingale approach,the formula and the Lundberg inequality of the ruin probability are got.A explicit expression of ruin probability is got in case of exponential claim amounts and exponential premium incomes.The ruin probability and adjustment coefficient varies with the interest factor are analyzed by numerical computation.
出处
《云南大学学报（自然科学版）》
CAS
CSCD
北大核心
2005年第S3期629-633,共5页
Journal of Yunnan University(Natural Sciences Edition)
基金
云南大学理(工)校级科研项目(2002Q020SL)
云南省自然科学基金项目(2003F0015M)
关键词
常利率
双险种
POISSON过程
鞅
停时
破产概率
constant interest
doubletype-insurance
Poisson process
martingale
stopping time
ruin probability
