| 引用本文： |
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方世祖,王志攀,张春梅.稀疏过程在带干扰的多险种风险模型中的应用[J].广西科学院学报,2007,23(3):150-152. [点击复制]
- FANG Shi-zu,WANG Zhi-pan,ZHANG Chun-mei.The Applications of Thinning Process in the Multiple Line Risk Model Perturbed by Diffusion[J].Journal of Guangxi Academy of Sciences,2007,23(3):150-152. [点击复制]
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| 摘要: |
| 利用Poisson过程在随机选择下的不变性,讨论带干扰的索赔为稀疏过程的多险种风险模型的破产概率,并证明Lundberg不等式Ψ(u)≤ e-Ru和破产概率的一般公式Ψ(u)=(E[exp (-RR(-Tu))Tu<∞]/e-Ru)成立。 |
| 关键词: 风险模型 稀疏过程 复合Poisson过程 Lundberg不等式 破产概率 调节系数 |
| DOI： |
| 投稿时间：2007-01-26修订日期：2007-06-20 |
| 基金项目: |
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| The Applications of Thinning Process in the Multiple Line Risk Model Perturbed by Diffusion |
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FANG Shi-zu1,2, WANG Zhi-pan1, ZHANG Chun-mei1
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| (1.School of Mathematics and Information Science, Guangxi University, Nanning, Guangxi, 530004, China;2.School of Science, Xi'an Jiaotong University, Xi'an, Shanxi, 710049, China) |
| Abstract: |
| By using the invariance of the Poisson premium process in stochastic selection,the article discusses perturbed claims are ruin probability of the multiple line risk model in thinning process.The Lundberg inequality Ψ(u) ≤ e-Ru and the common formula for the ruin probability:Ψ(u)=(E[exp(-RR(-Tu))Tu<∞]/e-Ru) are proved. |
| Key words: risk model thinning process compound Poisson process Lundberg inequality ruin probability adjustment coefficient |
