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带干扰非齐次泊松风险模型的破产概率

发表时间:2010-07-15  浏览量:1501  下载量:454
全部作者: 刘俊峰,张楠
作者单位: 南京审计学院数学与统计学院;中国人寿保险股份有限公司江苏省分公司
摘 要: 从经典风险模型出发,假定保险公司保费收入的到达次数服从非齐次泊松过程,且存在着2种理赔,同时考虑随机扰动对保险公司经营状况的影响,建立一类带干扰的非齐次泊松风险模型。对此模型进行研究,主要通过鞅的方法,得到了该模型中破产概率上界满足的一般公式。
关 键 词: 概率论;破产概率;风险模型;随机保费;鞅
Title: Ruin probability of perturbed inhomogeneous Poisson risk model
Author: LIU Junfeng, ZHANG Nan
Organization: School of Mathematics and Statistics, Nanjing Audit University; Jiangsu Branch of China Life Insurance Company Limited
Abstract: This paper developed and investigated an inhomogeneous Poisson risk model perturbed by a Brownian motion based on classic risk model, where the arriving number of the premium income is assumed to be a inhomogeneous Poisson process and there exist two kinds of claims in this model. From the discussion for this new risk model, a general formula of upper bound for the ruin probability is obtained by martingale approach.
Key words: probability theory; ruin probability; risk model; stochastic premium; martingale
发表期数: 2010年7月第13期
引用格式: 刘俊峰,张楠. 带干扰非齐次泊松风险模型的破产概率[J]. 中国科技论文在线精品论文,2010,3(13):1317-1321.
 
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