【摘要】 该文将经典风险模型推广到非时齐复合Poisson风险模型.首先,运用经典方法和时变方法,计算了该模型下的破产特征量,且得到了更新方程的解析表达式.其次,定义了时变后相应模型的一个广义的Gerber-Shiu函数,验证了时变方法对非时齐Poisson风险模型的有效性.最后,当单次索赔量服从指数分布时,计算了相应的破产概率和Gerber-Shiu函数.更多还原

【Abstract】 In this paper,the classical risk model is extended to nonhomogeneous compound Poisson risk model.Firstly,both the classical method and the time-varying method are used to calculate the ruin-related quantities for this model,and the analytical expression of the renewal equation is obtained.Secondly,for the time-varying model,the generalized Gerber-Shiu function is defined,which is to verify the effectiveness of the time-varying method for the nonhomogeneous compound Poisson risk model.Finally,when each claim follows an exponentially distribution,the corresponding ruin probability and Gerber-Shiu function are calculated.更多还原