一类盈余过程的破产概率及其应用

The Ruin Probability of a Series of Surplus Process and Its Application

本文给出了复合Poisson盈余过程在其个体理赔量服从两个指数分布的混合 分布时破产概率的显示解,并研究了此情形下破产概率的Lundberg界.作为应用,给出 了一种计算一般复合Poisson盈余过程破产概率的近似方法.

This paper gives a close form of the ruin probability of a compound Poisson surplus process with its individual claim amount distributing as a mixing of two exponentials, and the Lundberg bounds are studied under this condition. As an application, an approximation of the ruin probability of a general Poisson surplus process is given.