【摘要】 本文考虑时间间隔为几何分布的二维Sparre Andersen模型.借助广义生成元得到一个指数鞅.利用鞅方法和测度变换的理论,在极坐标下研究调节系数,得到破产概率的表达式和无限时间破产概率的Lundberg型上界.更多还原

【Abstract】 In this paper we consider the two-dimensional Sparre Andersen model with geometrical distributed inter-occurrence times.Firstly an exponential martingale is obtained by the extended generator.Then by applying the martingale approach and the change of probability measure the adjustment coefficient is analyzed in polar coordinates and a formula of the ruin probability and a Lundberg-type upper bound for the infinite-time ruin probability are obtained.更多还原