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| 一类推广负风险和模型的破产概率 |
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刘娟,曹文方,徐建成
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1. 湖北师范学院数学与统计学院,湖北,黄石,435002
2. 浙江工业职业技术学院人文社科部,浙江,绍兴,312000
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| 摘要: |
| 本文研究了带干扰的两险种负风险和模型的破产问题.利用无穷小方法,给出了该风险模型破产概率所满足的微分-积分方程,并推导出破产概率满足的Lundberg型不等式.最后指出了当索赔服从负指数分布时破产概率的上界,推广了经典风险模型的结果. |
| 关键词: 扩散过程 破产概率 负风险和 |
| DOI： |
| 分类号:O211.9 |
| 基金项目:Supported in part by Hubei Normal University post-graduate foundation (2010C16;2010C17); the Science and Technology foundation of Hubei(D20092207) |
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| RUIN PROBABILITY FOR A GENERALIZED RISK MODEL WITH NEGATIVE RISK SUMS |
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LIU Juan,CAO Wen-fang,XU Jian-cheng
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LIU Juan~1,CAO Wen-fang~2,XU Jian-cheng~1 (1.School of Mathematics and Statistics,Hubei Normal University,Huangshi 435002,China) (2.Department of Social Science and Humanities,Zhejiang Industry Polytechnic College,Shaoxing 312000,China)
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| Abstract: |
| In this paper,we consider a generalized risk model perturbed by diffusion involving two independent classes of insurance risks.By martingale approach,we assume that the two claim number processes are independent Poisson processes,an integro-differential equation for the ruin probability is obtained.The Lundberg inequality is derived.Finally,an example is presented. |
| Key words: diffusion process ruin probability negative risk sums |
