| 带干扰的变破产下限多险种风险模型 |
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| 引用本文： | 赵彦晖,岳毅蒙,李粉娟.带干扰的变破产下限多险种风险模型[J].重庆工学院学报,2010(3):105-109. |
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| 作者姓名： | 赵彦晖 岳毅蒙 李粉娟 |
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| 作者单位： | 西安建筑科技大学理学院; |
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| 基金项目： | 国家自然科学基金资助项目(50678143) |
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| 摘 要： | 近年来许多文献在研究风险模型的破产概率时假设破产下限为0,而在实际保险实务中,当保险公司的盈余过程低于某一限度时,保险公司就面临着破产,针对该问题,讨论了带干扰的多险种风险模型下的破产概率,运用鞅方法推导出破产概率满足的不等式和具体的表达式,给出了推广后的多险种风险模型中变破产下限破产概率所满足的不等式和具体表达式。
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| 关 键 词： | 风险模型 泊松过程 鞅 破产下限 Lundberg不等式 |
An Interfered Multi-line Risk Model of a Variable Ruin Limit |
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| ZHAO Yan-hui,YUE Yi-meng,LI Fen-juan.An Interfered Multi-line Risk Model of a Variable Ruin Limit[J].Journal of Chongqing Institute of Technology,2010(3):105-109. |
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| Authors: | ZHAO Yan-hui YUE Yi-meng LI Fen-juan |
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| Affiliation: | School of Science;Xi'an University of Architecture and Technology;Xi'an 710055;China |
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| Abstract: | In recent years,the limit of ruin has been set as 0 in many literatures when studying ruin probability in risk models,while,in practical insurance businesses,the insurance company confronts ruin issue when its surplus process is lower than a certain limit.In view of this problem,this paper discusses the ruin probability of an interfered multi-line risk model on the assumption that its ruin limit is variable,and obtains the inequality and formula of the ruin probability by means of martingale approach.In the... |
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| Keywords: | risk model Poisson process martingale limit of ruin Lundberg inequality |
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