摘要
研究了保单到达过程为平稳无后效流过程,理赔到达过程为一般更新过程的Andersen更新风险模型.利用鞅方法得到了该模型最终破产概率的Lundberg不等式及其表达式,并进一步研究了在理赔额服从指数分布情况下有限时间内的生存概率.
A generalized Andersen risk model is studied under the condition that the premium arrival process is a finite stream of random events with independent increments, and the claims arrival process is a general renewal process. By martingale method, its ruin probability and Lundberg＇ s inequality are obtained. The survival probability in finite time period in case of exponential claims amount is also studied.
出处
《佳木斯大学学报（自然科学版）》
CAS
2006年第1期125-127,共3页
Journal of Jiamusi University：Natural Science Edition
关键词
更新风险模型
破产概率
平稳无后效流
鞅
Renewal risk model
ruin probability
finite stream of random events with independent increments
martingale
