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双到达过程带索赔成本风险模型的破产概率
  • ISSN号：1006-8074
  • 期刊名称：数学理论与应用
  • 时间：2011.6.6
  • 页码：110-115
  • 分类：O211.67[理学—概率论与数理统计;理学—数学]
  • 作者机构：[1]中南大学数学科学与计算技术学院,长沙410075, [2]湖南化工职业技术学院,株洲412004
  • 相关基金：国家自然科学基金资助项目（11071259）资助
  • 相关项目：广义分枝模型与排队网络
作者： 覃东君 李俊平 刘志峰 吕靖|
关键词： 风险模型, 鞅, 破产概率, LUNDBERG不等式, risk models martingale bankruptcy probability Lundberg inequality
中文摘要：

本文研究了一类复合二项-负二项风险模型，并对所建立的模型，利用鞅分析方法讨论了模型的调节系数，推导了保险公司在初始准备金为U条件下的最终破产概率ψ（u）的表达式和Lundberg不等式。

英文摘要：

This paper focused on one type of compound binomial - negative binomial risk model, discussed the adjustment factors by martingale and derived the final bankruptcy probability ψ（u） expression and Lundberg inequality when insurance companies＇ initial reserve is u.

同期刊论文项目
广义分枝模型与排队网络
期刊论文 40
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期刊信息
  • 《数学理论与应用》
  • 主管单位:中南大学
  • 主办单位:湖南省数学学会
  • 主编：黄云清
  • 地址：湖南省长沙市岳麓区中南大学本部
  • 邮编：410075
  • 邮箱：hyprob@csu.edu.cn
  • 电话：0731-82655243
  • 国际标准刊号：ISSN：1006-8074
  • 国内统一刊号：ISSN：43-1334/O1
  • 邮发代号:42-187
  • 获奖情况:
  • 国内外数据库收录:
  • 俄罗斯文摘杂志,美国数学评论（网络版）,德国数学文摘
  • 被引量:2392