节点文献
一个风险模型的研究
Study of a risk model
【摘要】 研究了索赔到达过程为平稳无后效流,保单到达过程为平稳无后效流,并带扩散扰动项的盈余过程.讨论了该盈余过程的马尔科夫性和鞅性.然后用鞅方法得到其破产概率的表达式及其相应的Lundberg不等式.
【Abstract】 In this paper,a kind of insurance risk process perturbed by diffusion is studied under the conditions that the premium arrival process is a finite stream of random events with independent increments,the premium arrival process is another finite stream of random events with independent increments. The martingale property and the strong Markov property of this kind of surplus process are discussed. By a martingale method its ruin probability and Lundberg’s inequality are obtained.
【关键词】 盈余过程；
平稳无后效流；
Wiener过程；
马尔科夫性；
鞅；
破产概率；
【Key words】 Surplus process； finite stream of random events with independent increments； Wiener process； Markov property； martingale； ruin probability；
【Key words】 Surplus process； finite stream of random events with independent increments； Wiener process； Markov property； martingale； ruin probability；
- 【文献出处】 高校应用数学学报A辑(中文版) ,Applied Mathematics A Journal of Chinese Universities , 编辑部邮箱 ,2004年04期
- 【分类号】O212
- 【被引频次】42
- 【下载频次】196