摘要
对索赔次数为复合Poisson-Geometric过程的双险种风险模型进行研究,给出了生存概率所满足的积分方程、指数分布下的具体表达式及有限时间内的积分—微分方程,并利用鞅方法得到了最终破产概率的Lundberg不等式和一般公式.
A doubletype-insuranee risk model was considered,whose claim numbers are a compound Poisson-Geometric process. The integral equation and the explicit expression under exponential distribution and the integral-differential equation of the survival probability were derived. Meanwhile, by applying martingale approach, the Lundberg inequality and the common formula of the ultimate ruin probability were obtained.
出处
《经济数学》
2012年第1期79-84,共6页
Journal of Quantitative Economics
基金
国家自然科学基金项目(11161020)
云南省科技厅自然科学研究基金项目(2008CD186)
云南省教育厅科研基金项目(2011C121)