一类推广的复合Poisson-Geometric相依风险模型的破产概率
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引用本文:吕东东,赵明清,李发高.一类推广的复合Poisson-Geometric相依风险模型的破产概率[J].经济数学,2013,(4):71-75
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作者单位
吕东东,赵明清,李发高 (山东科技大学 信息科学与工程学院山东 青岛 266590) 
中文摘要:研究了一类推广的复合Poisson-Geometric风险相依模型.利用盈余过程的鞅性,得到了破产概率公式以及破产概率所满足的积分方程和Cramer-Lundberg逼近.最后给出了索赔额服从指数分布时Cramer-Lundberg逼近的精确表达式.
中文关键词:复合Poisson-Geometric过程    破产概率  索赔相依  Cramer-Lundberg逼近
 
The Ruin Probability for Correlated Aggregate Claims with A Generalized Compound Poisson-Geometric Risk Model
Abstract:This paper studied correlated aggregate claims with a generalized compound Poisson-Geometric risk model.Using martingale property of the surplus process, the formulas of ruin probability, the integral equation of the probability and the Cramer-Lundberg approximation were obtained.Finally, the explicit expression of the Cramer-Lundberg approximation was given when the claim is exponential distribution.
keywords:compound Poisson-Geometric process  martingale  ruin probability  correlated aggregate claims  Cramer-Lundberg approximation
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