摘要
将经典负风险模型进行了推广,建立了索赔到达为Poisson-Geometric过程的负风险模型,运用矩母函数的相关性质推导了模型的基本性质,给出了调节系数所满足的方程,并利用鞅方法及模型本身的性质得到了该模型的破产概率的一般表达式,同时得出Lundberg不等式。
A classical negative risk model with compound Poisson process is generalized.The compund Poisson Geometric risk modle in which the arrival of claims follows compound Poisson Geometric process is constracted.By using the properties of the moment generating function,we obtained the equation of the adjustment coefficient.We also proved the express of the ruin probability and got the Lunderg upper bound of the model with martingale and the model properties.
出处
《科技信息》
2012年第35期30-31,共2页
Science & Technology Information
基金
长沙学院科学研究资助项目(2011CD07)
