| 稀疏过程在保费随机收取风险模型中的应用 |
| |
| 引用本文： | 赵金娥,王贵红. 稀疏过程在保费随机收取风险模型中的应用[J]. 蒙自师范高等专科学校学报, 2007, 5(2): 4-7,16 |
| |
| 作者姓名： | 赵金娥 王贵红 |
| |
| 作者单位： | 红河学院数学系 云南蒙自661100(赵金娥)，玉溪农业职业技术学院计科系 云南玉溪653106(王贵红) |
| |
| 基金项目： | 红河学院校级课题(XSS06008) |
| |
| 摘 要： | 研究一类风险过程,其中保费收入为复合Poisson过程,而描述理赔发生的计数过程为保单到达过程的p-稀疏过程.运用鞅方法得出破产概率满足的Lundberg不等式和一般公式,给出当收取的保费和索赔额均为指数分布时破产概率的具体表达式,并通过数值计算研究了初始准备金的变化及保单到达和理赔发生之间的相互关系对保险公司经营的影响.
|
| 关 键 词： | 稀疏过程 Poisson过程 鞅 破产概率 Lundberg不等式 |
| 文章编号： | 1008-9128（2007）02-0004-04 |
| 修稿时间： | 2007-01-05 |
The Applications of Thinning Process in Risk Model of Random Premium Income |
| |
| ZHAO Jin-e,WANG Gui-hong. The Applications of Thinning Process in Risk Model of Random Premium Income[J]. Journal of Mengzi Teachers' College, 2007, 5(2): 4-7,16 |
| |
| Authors: | ZHAO Jin-e WANG Gui-hong |
| |
| Affiliation: | 1. Department of Mathematics, Honghe University, Mengzi 661100, China ;2. Department of Calculation science, Yuxi Agriculture Occupation Technical College, Yuxi 653106, China |
| |
| Abstract: | A risk process is consider ed where the arrival of term policies a Poisson processes and the arrival of the claims follows a p-thinning processes.Applying martingale approach,the Lundberg inequality and the formula of the ruin probability are obtained,and the explicit formula of the ruin probability is also obtained in case of exponential claim amounts and exponential premium incomes.The variety of initial capital and the correlation of policies arrival and claims occurrence with the insurance company management are analyzed by numerical computation. |
| |
| Keywords: | thinning process Poisson process martingale ruin probability Lundberg inequality |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
