[1]魏广华,高启兵.常利力下双复合泊松风险模型破产概率的上界[J].南京师大学报(自然科学版),2009,32(01):30-34.
　Wei Guanghua,Gao Qibing.Upper Bounds for Ruin Probability in the Double Compound Poisson Risk Model Under Constant Interest Force[J].Journal of Nanjing Normal University(Natural Science Edition),2009,32(01):30-34.
点击复制

常利力下双复合泊松风险模型破产概率的上界()
分享到：

《南京师大学报（自然科学版）》[ISSN:1001-4616/CN:32-1239/N]

卷:
第32卷
期数:
2009年01期
页码:
30-34
栏目:
数学
出版日期:
2009-03-30

文章信息/Info

Title:
Upper Bounds for Ruin Probability in the Double Compound Poisson Risk Model Under Constant Interest Force
作者:
魏广华1;  高启兵2;  3
1. 金陵科技学院基础课部, 江苏南京210001
 2. 南京师范大学数学与计算机科学学院, 江苏南京210097 
 3. 东南大学数学系, 江苏南京210096
Author(s):
Wei Guanghua1; Gao Qibing2; 3
1.Department of Basic Courses,Jinling Institute of Technology,Nanjing 210001,China
关键词:
双复合泊松风险模型;  常利力;  鞅;  递归;  破产概率
Keywords:
double com pound Po isson r isk mode; l constant interest force;  m a rtinga le;  recursive;  ruin probability
分类号:
O211.67
摘要:
对经典的Lundberg-Cramer风险模型和Fangand Luo’s风险模型进行了推广.考虑了常利力下双复合泊松风险模型.模型中保费和理赔到达计数过程均为齐次Poisson过程.借助鞅和递归技巧,获得该风险模型的最终破产概率的指数型上界.
Abstract:
C lassica l Lundberg-C ram er risk m ode l and Fung and Luo’ s risk model are ex tended. The double compound Po isson risk m ode l unde r constant interest force is considered. The cla im number processes and insures prem ium incom e number processes are different hum ogenecus Po isson processes. Exponentia l type upper bounds are ob tained for the ult-i m ate ruin probab ility of th is risk m ode l by ma rtinga le and recursive techn iques.

参考文献/References:

[ 1] Fang S Z, Luo JH. The double compound Po isson r isk m ode l[ J]. Pure and App liedM athem atics, 2006, 22( 2): 271-278.
[ 2] A sm ussen S. Ru in Probab ilities[M ]. Singapore: W o rld Scien tific, 2000.
[ 3] Ca i J, Dickson D CM. On the expected d iscounted pena lty function a t ruin of a surp lus process w ith in terest[ J]. Insurance:
M athem atics and Econom ics, 2002, 30( 3): 389-404.
[ 4] Palsen J, G jessingH K. Ruin theo ry w ith stochastic econom ic env ironm ent[ J]. Advances in Applied Probab ility, 1997, 29:
965-985.
[ 5] Ca i J, Yang H L. Ru in in the perturbed com pounded Po isson[ J] . Advances in App lied Probab ility, 2005, 37( 3 ): 819-
835.
[ 6] Sundt B, Teugels J L. Ru in estim a tes under in terest force[ J]. Insurance: M athem atics and Econom ics, 1995, 16( 1): 7-
22.
[ 7] Dam ien Lamberton, Berna rd Lapeyre. Introduc tion to Stochastic Ca lcu lus App lied to F inance[M ]. New York: CRC Press,
2000.

相似文献/References:

[1]魏广华,高启兵,刘国祥.常利力下双复合Poisson风险过程的生存概率[J].南京师大学报(自然科学版),2013,36(02):27.
　Wei Guanghua,Gao Qibing,Liu Guoxiang.Survival Probability in the Double Compound Poisson Risk Process Under Constant Interest Force[J].Journal of Nanjing Normal University(Natural Science Edition),2013,36(01):27.

备注/Memo

备注/Memo:
基金项目: 国家自然科学基金( 10671032, 10871001, 60873176)、江苏省自然科学基金( BK2008006) 及东南大学博士后基金( 1107010100)
资助项目.
通讯联系人: 魏广华, 助教, 研究方向: 金融数学. E-mail:skywgh@ 126. com
更新日期/Last Update: 2013-04-23