【摘要】 主要对索赔计数过程是Erlang(2)过程、保费收入为复合Poisson过程的风险模型进行了讨论。利用余额过程在索赔时刻具有强马氏性,得到最终破产概率的积分方程,最后推出最终破产概率的Lundberg上界。更多还原

【Abstract】 The risk model for which the claim inter-arrival distribution is Erlang(2)and the arrival of premium income is a compound Poisson process is considered in this paper.According to the strong Markov property of surplus process at the moments of claims,the integral equation for ruin probability is derived.Finally the Lundberg upper bound for ruin probability is obtained.更多还原