A Class of Ruin Probability Model with Dependent Structure

被引：1

作者：

Wang De-hui ^{[1
]}

Gao Jia-xing ^{[1
]}

Xu Zi-li ^{[1
]}

Xu Jin-jing ^{[1
]}

Zhang Xu-li ^{[1
]}

机构：

[1] School of Mathematics, Jilin University

来源：

Communications in Mathematical Research | 2016年 / 32卷 / 03期

关键词：

ruin probability; dependent structure; individual risk model; Poisson process;

D O I：

10.13447/j.1674-5647.2016.03.06

中图分类号：

F840 [保险理论]; O211.6 [随机过程];

学科分类号：

020204 ; 020208 ; 070103 ; 0714 ; 120404 ;

摘要：

In this paper, we study a class of ruin problems, in which premiums and claims are dependent. Under the assumption that premium income is a stochastic process, we raise the model that premiums and claims are dependent, give its numerical characteristics and the ruin probability of the individual risk model in the surplus process. In addition, we promote the number of insurance policies to a Poisson process with parameter λ, using martingale methods to obtain the upper bound of the ultimate ruin probability.

引用

页码：241 / 248

页数：8

共 5 条

[1] 索赔次数为复合Poisson-Geometric过程的风险模型及破产概率 [J].