摘要
由于双复合Poisson-Geometric风险模型调节系数不存在,所以运用鞅论的方法不能得出破产概率关于调节系数的表达式,针对这种情况,运用全期望公式研究双复合Poisson-Geometric风险模型,得出了破产概率满足的积分方程,并给出了保费收入和理赔额均服从指数分布时破产概率的表达式.
Because the adjustment coefficient of the double compound Poisson-Geometric risk model does not exist, so by the martingale approach, the relation formula between ruin probability and adjustment coefficient can not be obtained. In this paper, the double compound Poisson-Geometric risk model is.studied through the total expectation formula. Integral equation with ruin probability is given. When premium income and claim sizes follow exponential distribution~ the ruin probability formula is obtained.
出处
《数学的实践与认识》
北大核心
2015年第15期189-195,共7页
Mathematics in Practice and Theory
基金
秦皇岛市科学技术研究与发展计划基金资助项目(201302A221)
关键词
风险模型
破产概率
调节系数
risk model
ruin probability
adjustment coefficient
