带干扰的泊松风险模型的破产概率及推广

发布时间：2018-04-17 12:35

本文选题：风险模型 + 破产概率　；参考：《统计与决策》2013年01期

【摘要】：文章考虑多险种、利率因素和随机扰动项,将经典风险模型推广到保费收入和个体索赔为相互独立的双复合Poisson过程,建立了常利率下带干扰的双复合Poisson过程的两险种风险模型,然后运用鞅论的方法得出该模型的破产概率公式,最后对保费收入和理赔推广到指数分布和混合指数分布,得出相应的破产概率的精确表达式。
[Abstract]:In this paper, considering the risk factors of multiple insurance, interest rate and stochastic disturbance, the classical risk model is extended to the insurance premium income and individual claims as a mutually independent double compound Poisson process, and a two-type risk model of the double-compound Poisson process with interference under constant interest rate is established.Then the ruin probability formula of the model is obtained by means of martingale theory. Finally, the exact expression of ruin probability is obtained by extending the premium income and claims to exponential distribution and mixed exponential distribution.
【作者单位】：燕山大学里仁学院;
【分类号】：F224;F840

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