摘要
本文研究了一类索赔计数过程相关的双险种Poisson风险模型.利用模型转化首先将该复杂模型转化为经典的风险模型,获得该模型破产概率所满足的积分方程,Lundberg上界表达式,及Cramér-Lundberg渐近估计式.当个体索赔具有指数分布时,推得了破产概率所满足的方程,并给出了具体的数值计算的实例.
In this paper we consider a two-type-risk Poisson model with correlated claim number process. It is assumed that more than one claims occur for every risk at the same time in the model. First, this paper changes the complex model to classical complex Poisson risk model by modest transformation. By the theory acknowledges of classical risk model, we derive the integral equation, Lundberg upper boundary expression and Cramer-Lundberg approximation for the ruin probability. Finally, we obtain the equation for the ruin probability and give a numerical example when the claim sizes are exponentially distributed.
出处
《数学杂志》
CSCD
北大核心
2009年第2期201-205,共5页
Journal of Mathematics
基金
国家自然科学基金资助项目(10671149)
