CAJ | 학술논문

本文研究了带干扰的两险种负风险和模型的破产问题.利用无穷小方法,给出了该风险模型破产概率所满足的微分-积分方程,并推导出破产概率满足的Lundberg型不等式.最后指出了当索赔服从负指数分布时破产概率的上界,推广了经典风险模型的结果.
본문연구료대간우적량험충부풍험화모형적파산문제.이용무궁소방법,급출료해풍험모형파산개솔소만족적미분-적분방정,병추도출파산개솔만족적Lundberg형불등식.최후지출료당색배복종부지수분포시파산개솔적상계,추엄료경전풍험모형적결과.
In this paper,we consider a generalized risk model perturbed by diffusion involving two independent classes of insurance risks.By martingale approach,we assume that the two claim number processes are independent Poisson processes,an integro-differential equation for the ruin probability is obtained.The Lundberg inequality is derived.Finally,an example is presented.