本文選題：風險模型 + 破產(chǎn)概率�。� 參考：《統(tǒng)計與決策》2013年01期

【摘要】：文章考慮多險種、利率因素和隨機擾動項,將經(jīng)典風險模型推廣到保費收入和個體索賠為相互獨立的雙復合Poisson過程,建立了常利率下帶干擾的雙復合Poisson過程的兩險種風險模型,然后運用鞅論的方法得出該模型的破產(chǎn)概率公式,最后對保費收入和理賠推廣到指數(shù)分布和混合指數(shù)分布,得出相應的破產(chǎn)概率的精確表達式。
[Abstract]:In this paper, considering the risk factors of multiple insurance, interest rate and stochastic disturbance, the classical risk model is extended to the insurance premium income and individual claims as a mutually independent double compound Poisson process, and a two-type risk model of the double-compound Poisson process with interference under constant interest rate is established.Then the ruin probability formula of the model is obtained by means of martingale theory. Finally, the exact expression of ruin probability is obtained by extending the premium income and claims to exponential distribution and mixed exponential distribution.
【作者單位】： 燕山大學里仁學院;
【分類號】：F224;F840

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