带干扰的多险种的风险模型

Multiple line risk model pertured by diffusion

保险公司往往会经营多种保险,用古典风险模型及其它推广的单一险种风险模型来研究其风险经营过程存在局限性,本文讨论了带干扰的多险种风险模型,模型中保费的收入和理赔都是复合泊松过程,应用鞅论的方法,得出伦德伯格不等式和破产概率公式。

Insurance company runs many types of insurance.There is a limitation to the classical risk model and other generalized risk model.Therefore,the multiple line risk model has been constructed.We consider that the premum income and the claim are a compound poisson process in this model.By the method of mintingale,we prove the lundberg inequality and formula on the ruin probability.