五邑大学学报(自然科学版)
五邑大學學報(自然科學版)
오읍대학학보(자연과학판)
JOURNAL OF WUYI UNIVERSITY(NATURAL SCIENCE EDITION)
2014年
3期
6-10
,共5页
破产概率%Poisson-geometric过程%矩母函数%鞅%标准布朗运动
破產概率%Poisson-geometric過程%矩母函數%鞅%標準佈朗運動
파산개솔%Poisson-geometric과정%구모함수%앙%표준포랑운동
ruin probability%Poisson-geometric process%moment generating functions%martingale%standard Brown motion
将经典单一型复合 Poisson风险模型推广到带干扰的两险种复合 Poisson-geometric过程。构造调节系数方程并证明了调节系数的存在唯一性之后,运用鞅方法推导出了该风险模型下保险公司破产概率的表达式和破产概率上界,并给出了当个体理赔额服从指数分布时破产概率的表达式。
將經典單一型複閤 Poisson風險模型推廣到帶榦擾的兩險種複閤 Poisson-geometric過程。構造調節繫數方程併證明瞭調節繫數的存在唯一性之後,運用鞅方法推導齣瞭該風險模型下保險公司破產概率的錶達式和破產概率上界,併給齣瞭噹箇體理賠額服從指數分佈時破產概率的錶達式。
장경전단일형복합 Poisson풍험모형추엄도대간우적량험충복합 Poisson-geometric과정。구조조절계수방정병증명료조절계수적존재유일성지후,운용앙방법추도출료해풍험모형하보험공사파산개솔적표체식화파산개솔상계,병급출료당개체리배액복종지수분포시파산개솔적표체식。
The classic single type of compound Poisson risk model is extended to two compound Poisson-geometric risk models with interference, an adjustment coefficient equation is constructed, and the existence uniqueness of the adjustment coefficient is proved, the representation and the upper bound of the probability of the ruin of insurance companies are derived using the martingale approach, and finally, the representation for ruin probability is given when individual claims conform to exponential distribution.