一类推广的复合Poisson-Geometric相依风险模型的破产概率

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

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过程鞅破产概率索赔相依 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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