【摘要】 对保费收入是复合Poisson过程、理赔含有多个相关险种的带干扰的风险模型盈余首达时间进行研究.首先,对新模型的性质进行了讨论,得到其盈利过程的平稳增量性;其次,基于鞅理论,对风险模型下盈余首次达到给定水平的时间进行了研究.最后,得到了首达时刻的矩母函数以及相应的期望、二阶和三阶中心矩的解析表达式.更多还原

【Abstract】 In view of the classical compound Poisson risk model,we take into account the influence of premium income and more coverage claim to insurance company surplus,a new and practical risk model is proposed to extend the classical compound Poisson risk model.After analyzing the proposed model,the stationary-increment properties of profit process are obtained.By using the martingale method,the time when the surplus reaches a given level for the first time is discussed,and a very simple mathematical expression of its moment generating function and its expect and the k^th Central moments（k=1,2,3） are obtained.更多还原