索赔次数为复合Poisson-Geometric过程的双险种风险模型

赵金娥; 王贵红; 龙瑶

索赔次数为复合Poisson-Geometric过程的双险种风险模型

引用本文：赵金娥，王贵红，龙瑶.索赔次数为复合Poisson-Geometric过程的双险种风险模型[J].经济数学,2012,(1):79-84

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作者	单位
赵金娥，王贵红，龙瑶	（1.红河学院数学学院，云南蒙自661100；2.玉溪农业职业技术学院计科系，云南玉溪653106）

中文摘要:对索赔次数为复合Poisson-Geometric过程的双险种风险模型进行研究,给出了生存概率所满足的积分方程、指数分布下的具体表达式及有限时间内的积分—微分方程,并利用鞅方法得到了最终破产概率的Lundberg不等式和一般公式.

中文关键词:Poisson-Geometric过程鞅破产概率 Lundberg不等式

A Doubletype-Insurance Risk Model with Claim Numbers Following Compound Poisson-Geometric Process

Abstract:A doubletype-insurance risk model was considered,whose claim numbers are a compound Poisson-Geometric process. The integral equation and the explicit expression under exponential distribution and the integral-differential equation of the survival probability were derived. Meanwhile, by applying martingale approach, the Lundberg inequality and the common formula of the ultimate ruin probability were obtained.

keywords:Poisson-Geometric process martingale ruin probability Lundberg inequality

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