| 鞅在带支出的复合负二项风险模型中的应用 |
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| 引用本文： | 朱玉平,向敬民,孔繁亮.鞅在带支出的复合负二项风险模型中的应用[J].哈尔滨理工大学学报,2007,12(5):66-68. |
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| 作者姓名： | 朱玉平 向敬民 孔繁亮 |
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| 作者单位： | 1. 哈尔滨理工大学,应用科学学院,黑龙江,哈尔滨,150080
2. 大庆市第四十中学,黑龙江,大庆,163255 |
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| 基金项目： | 国家自然科学基金资助(10371027) |
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| 摘 要： | 文中讨论了在离散时间的情况下,对保险费的收取过程和索赔过程都是复合负二项过程,并且用鞅分析方法对保险公司支出的风险模型进行了研究,得出了最终破产概率.同时讨论了离散情况下的Lundberg不等式.
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| 关 键 词： | 复合负二项过程 鞅 停时 调节系数 |
| 文章编号： | 1007-2683（2007）05-0066-03 |
| 修稿时间： | 2007-01-16 |
Martingale Applied in the Ruin Probability of the Compound Non-binominal Risk Model with Appropriation Budget |
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| ZHU Yu-ping,XIANG Jing-min,KONG Fan-liang.Martingale Applied in the Ruin Probability of the Compound Non-binominal Risk Model with Appropriation Budget[J].Journal of Harbin University of Science and Technology,2007,12(5):66-68. |
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| Authors: | ZHU Yu-ping XIANG Jing-min KONG Fan-liang |
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| Affiliation: | 1. Applied Science College, Harbin Univ. Sci. Tech. , Harbin 150080, China;2. Daqing No. 40 Middle School, Daqing 163255,China |
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| Abstract: | Under the discrete time,we discuss a new model which is the Ruin Probability of the Compound Non-Binominal Bisk Model with appropriation budget.Using the Martingale approach we analyses the new model and obtain the ruin probability of the model.The Lundberg inequality is obtained by the discrete martingale ap- proach. |
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| Keywords: | Compound Non-Binominal Risk Model martingale stopping time addjustment coefficient |
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