许灏, 魏芝雅, 彭旭辉. 带干扰的二维复合Poisson-Geometric 过程破产概率的研究[J]. 应用概率统计, 2022, 38(3): 333-343. DOI: 10.3969/j.issn.1001-4268.2022.03.002
引用本文: 许灏, 魏芝雅, 彭旭辉. 带干扰的二维复合Poisson-Geometric 过程破产概率的研究[J]. 应用概率统计, 2022, 38(3): 333-343. DOI: 10.3969/j.issn.1001-4268.2022.03.002
XU Hao, WEI Zhiya, PENG Xuhui. A Research on Bidimensional Compound Poisson-Geometric Processes Risk Model with Interference[J]. Chinese Journal of Applied Probability and Statistics, 2022, 38(3): 333-343. DOI: 10.3969/j.issn.1001-4268.2022.03.002
Citation: XU Hao, WEI Zhiya, PENG Xuhui. A Research on Bidimensional Compound Poisson-Geometric Processes Risk Model with Interference[J]. Chinese Journal of Applied Probability and Statistics, 2022, 38(3): 333-343. DOI: 10.3969/j.issn.1001-4268.2022.03.002

带干扰的二维复合Poisson-Geometric 过程破产概率的研究

A Research on Bidimensional Compound Poisson-Geometric Processes Risk Model with Interference

  • 摘要: 本文研究一个带干扰的二维风险模型,其中保费向量和索赔向量均为复合Poisson-Geometric过程.使用鞅的方法和停时理论, 文章得到了模型的破产上界.在保费向量和索赔向量均服从二维的FGM(Farlic-Gumbel-Morgenstern)类分布时,文章还讨论了所得上界的一些性质.

     

    Abstract: This paper investigates a bidimensional risk model with interference, in which the vectors of claim process and premium process are both compound Poisson-Geometric processes. Through martingale method and stopping time technique, we get the upper bound of the ruin probability. When the marginal of claim vector and premium vector follow bivariate FGM (Farlic-Gumbel-Morgenstern) class, we have discussed some properties of the upper bound.

     

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