摘要
对索赔为复合Poisson-Geometric过程的双险种风险模型进行研究,给出了当初始资本为0及索赔额为指数分布下破产概率的具体表达式,并利用鞅方法得到了最终破产概率满足的Lundberg不等式和一般公式.
A double-type insurance risk model is considered which the claim process ts a compound Poisson-Geometric pr0cess.The explicit expressions of ruin probability are derived when the initial capital is zero and the claim sizes are exponentially distributed. Meanwhile,by applying martingale approach, the Lundberg＇s inequality and the general formula of the ultimate ruin probability are obtained.
出处
《数学的实践与认识》
CSCD
北大核心
2014年第21期6-12,共7页
Mathematics in Practice and Theory
基金
国家自然科学基金(11301160)
云南省科技厅自然科学基金(2013FZ116)
云南省教育厅科研基金(2011C121)
