【摘要】 在经典风险模型的基础上,把索赔到达过程Nt加以推广为更新过程,且认为有干扰的情况下,设其为布朗运动,得到一个新的风险模型:Rt=u+ct+Wt-∑Nti=1Xi,用马尔可夫骨架过程的理论和方法,求得有限时间t盈余的瞬时分布φ(u,t,a),然后求得时刻t的生存概率Ψ(u,t)满足的关系式。更多还原

【Abstract】 Based on the classical risk model which popularizes compensation arrival process N1 into renewal process,and assist perturbed by Brown motion,a new risk model is reached:Rt=u+ct+Wt-∑Zti=1Xi.By application of the theory and method of Markov Skeleton Process,we can get instant distribution of limited time t balance φ(u,t,a) and then existent equation of probability of time t.更多还原