索赔次数为复合Poisson-Geometric过程的双险种风险模型
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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6611002.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    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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