【摘要】 对索赔为复合Poisson-Geometric过程的双险种风险模型进行研究,给出了当初始资本为0及索赔额为指数分布下破产概率的具体表达式,并利用鞅方法得到了最终破产概率满足的Lundberg不等式和一般公式.更多还原

【Abstract】 A double-type insurance risk model is considered which the claim process is a compound Poisson-Geometric process.The explicit expressions of ruin probability are derived when the initial capital is zero and the claim sizes are exponentially distributed.Meanwhile,by applying martingale approach,the Lundberg’s inequality and the general formula of the ultimate ruin probability are obtained.更多还原