索赔相关的Poisson-Geometric风险模型研究
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引用本文:周绍伟,南长全.索赔相关的Poisson-Geometric风险模型研究[J].经济数学,2016,(1):76-79
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作者单位
周绍伟,南长全 (1.山东科技大学 数学与系统科学学院 山东 青岛2665902. 山东科技大学 文法学院 山东 青岛266590) 
中文摘要:研究了保费到达为复合Poisson-Geometric过程的索赔相关风险模型,通过模型转化得到了破产概率的表达式及其上界.进一步地,将模型推广为带干扰的情形,得到了相应的结果.
中文关键词:索赔相关  复合Poisson-Geometric过程  破产概率  调节系数  
 
Research on a Poisson-Geometric Risk Model with Correlated Claims
Abstract:A correlated risk model in which the arrival of premium follows compound Poisson-Geometric process has been studied. Its ruin probability and bound from upper have been given by model transformation. Furthermore, a perturbed model has been considered and the corresponding results have been obtained.
keywords:correlated claims  compound Poisson-Geometric process  ruin probability  adjustment coefficient  martingale
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