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| 摘要: |
| 本文研究了常数利率下, 保费收入为复合Poisson 过程, 理赔到达过程为一般更新过程的风险模型. 利用离散化的方法, 获得了该风险模型的破产概率、破产时余额分布及破产前瞬间余额分布的级数展开式, 推广了文[1] 和文[2] 中的相关结果. |
| 关键词: 更新过程 破产概率 破产时余额分布 破产前瞬间余额分布 |
| DOI： |
| 分类号:O211.6 |
| 基金项目:湖北省教育厅基金(B20091104);冶金工业过程系统科学湖北省重点实验室(武汉科技大学)开放基金(Y201116);武汉科技大学青年发展基金(2006XZ12) |
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| RUIN PROBLEMS IN A COMPOUND POISSON-RENEWAL RISK MODEL WITH A CONSTANT INTEREST RATE |
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WU Chuan-ju,WANG Cheng-jian
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| Abstract: |
| The compound Poisson-renewal risk model is such that the aggregate premium is a compound Poisson process and the aggregate claim is a compound renewal process. This paper considers the compound Poisson-renewal risk model with a constant interest rate. Using discretization method, we give the series expansions of ruin probability and the distributions of the surplus at ruin and immediately before ruin. So the recent relevant results of [1] and [2] are extended. |
| Key words: renewal process ruin probability the deficit at ruin the surplus immediately before ruin |
