摘要
首先将双Poisson风险模型推广到保费过程是广义齐次Poisson过程的一种新模型,然后利用鞅论的方法得出了破产概率满足的Lundberg不等式和一般公式,以及当个体所赔服从指数分布时破产概率的具体表达式.此模型可以解决同一时刻有2张以上保单到达的实际问题.
The double Poisson risk model is generalized to a new risk model in which the arrival of insurance policies is a generalized homogeneous Poisson process.Then the Lundberg inequality and the common formula of the ruin probabities are gotten in terms of some techniques from martingale theory.Finally,the explicit formula of the ruin probabilities is gotten when the claim distribution is exponentially distributed.More than two insurance policies can be solved in terms of the model.
出处
《长沙铁道学院学报》
CSCD
北大核心
2003年第1期97-100,共4页
Journal of Changsha Railway University
关键词
广义双Poisson
鞅
停时
破产概率
generalized double Poisson processes
martingale
stopping time
ruin probability
