条件Poisson风险模型破产概率与破产时间期望的界限

Boundary of Ruin Probability and Expectation of the Ruin Time in Conditional Poisson Risk Model

推广了经典的风险模型。对于索赔次数,我们用一个条件泊松过程刻画,通过构造一个下鞅,在破产时盈余为零的假设基础上给出了索赔到达为条件Poisson过程的风险模型破产概率的下界和破产时刻期望的上界;对于带红利情形,我们在红利线为线性情况下,给出了破产概率的下界。

We generalized the classical risk model and used a conditional poisson process to describe the claim arrival,by constructing a submartingale,based on the assumption that the surplus is zero when ruin,we gave a lower bound of ruin probability and the upper bound of the expectation of ruin time on the conditional poisson risk model,in the case of the dividend,we gave the lower bound of the ruin probability when the dividend line was a linear case.