| 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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| 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 鞅 破产概率 索赔相依 Cramer-Lundberg逼近 |
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| The Ruin Probability for Correlated Aggregate Claims with A Generalized Compound Poisson-Geometric Risk Model |
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| 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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