| 线性红利下带干扰的复合Poisson风险模型 |
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| 引用本文： | 赵金娥,王贵红,龙瑶,崔向照.线性红利下带干扰的复合Poisson风险模型[J].重庆工学院学报,2010(3):115-120. |
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| 作者姓名： | 赵金娥 王贵红 龙瑶 崔向照 |
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| 作者单位： | 红河学院数学学院;玉溪农业职业技术学院计算机科学系; |
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| 基金项目： | 云南省自然科学基金资助项目(2008CD186);;云南省教育厅科研基金资助项目(07Y10102) |
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| 摘 要： | 在线性红利下将保单到达过程推广为Poisson过程,并通过添加Brownian运动来刻画保险公司不确定的收益和付款,建立线性红利下带干扰的复合Poisson风险模型.运用鞅方法得出了破产概率满足的Lundberg不等式和一般公式,并给出了生存概率满足的积分—微分方程。
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| 关 键 词： | 线性红利 干扰 破产概率 生存概率 积分-微分方程 鞅 |
Compound Poisson Risk Model by Diffusion of a Linear Dividend Barrier |
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| ZHAO Jin-e,WANG Gui-hong,LONG Yao,CUI Xiang-zhao.Compound Poisson Risk Model by Diffusion of a Linear Dividend Barrier[J].Journal of Chongqing Institute of Technology,2010(3):115-120. |
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| Authors: | ZHAO Jin-e WANG Gui-hong LONG Yao CUI Xiang-zhao |
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| Affiliation: | 1.College of Mathematics;Honghe University;Mengzi 661100;China;2.Department of Computation and Science;Yuxi Agricultural Vocation College;Yuxi 653106;China |
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| Abstract: | In this article,a risk model of a linear dividend barrier is considered where the arrival of the policies is a Poisson process and uncertain income and payment of the insurance company is a Brownian motion.By applying martingale approach,the Lundberg inequality and the formula of the ruin probability are obtained.Meanwhile,the integral-differential equation of the survival probability is obtained. |
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| Keywords: | linear dividend barrier diffusion ruin probability survival probability integral-differential equation martingale |
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