离散时间的双Poisson模型的破产概率

Ruin Probability about Dual Poisson Model with Discrete Time

  • 摘要: 本文在离散复合Poisson风险模型的基础上,研究保费的收取也为一个Poisson过程的模型, 在保费收取量和理赔量都离散取整数值时,我们运用转移概率推导出了保险公司在有限时间内破产的概率以及最终破产概率的级数表达式和矩阵表达式.

     

    Abstract: In this paper, we discuss the discrete time compound Poisson model with premium income process also being a compound Poisson process. As the premium incomes and the individual claim amounts are discrete random variables with non-negative integer values, we find the calculation formulas of the finite time ruin probability and the eventual ruin probability by using transition probability.

     

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