魏广华, 高启兵, 王晓谦. 利力下带干扰的双复合Poisson风险过程的生存概率[J]. 应用概率统计, 2012, 28(1): 31-42.
引用本文: 魏广华, 高启兵, 王晓谦. 利力下带干扰的双复合Poisson风险过程的生存概率[J]. 应用概率统计, 2012, 28(1): 31-42.
Wei Guanghua, Gao Qibing, Wang Xiaoqian. The Survival Probability for the Perturbed Double Compound Poisson Risk Process under Constant Interest Force[J]. Chinese Journal of Applied Probability and Statistics, 2012, 28(1): 31-42.
Citation: Wei Guanghua, Gao Qibing, Wang Xiaoqian. The Survival Probability for the Perturbed Double Compound Poisson Risk Process under Constant Interest Force[J]. Chinese Journal of Applied Probability and Statistics, 2012, 28(1): 31-42.

利力下带干扰的双复合Poisson风险过程的生存概率

The Survival Probability for the Perturbed Double Compound Poisson Risk Process under Constant Interest Force

  • 摘要: 本文考虑了常利力下带干扰的双复合Poisson风险过程, 借助微分和伊藤公式, 分别获得了无限时和有限时生存概率的积分微分方程. 当保费服从指数分布时, 得到了无限时生存概率的微分方程.

     

    Abstract: In this paper, we consider the perturbed double compound Poisson risk process under constant interest force. Exponential type upper bounds are obtained for the ultimate ruin probability of this risk model by the way of martingale. For infinite time and finite time survival probabilities, we obtain the respective integro-differential equations. When the premiums are exponentially distributed, some differential equations are derived for infinite time survival probability.

     

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