摘要
本文推广了经典的复合泊松风险模型,建立了两类复合广义齐次poisson过程的多险种破产模型.对于新模型,我们得到了初始资本为u的破产概率ψ(μ)的精确表达式以及特殊情况下ψ(0)的表达式,并且导出了调节系数方程和调节系数R的上下界.
In this paper, the classical compound poisson risk model is generalized and two families compound generalized homogeneous poisson risk model are set up. For new models the accurate ex-pression of the ruin probability ψ(u) of the initial capital u and special case ψ(0) are derived. In addition adjustment coefficient equations are established and the upper bound and lower bond of the adjustment coefficient R are estimated.
出处
《应用数学与计算数学学报》
2003年第2期63-69,共7页
Communication on Applied Mathematics and Computation
关键词
复合泊松风险模型
破产概率
调节系数
矩母函数
Ruin probability, Compound generalized homogeneous poisson process, Moment generating function, Adjustment coefficient.
