中南民族大学学报（自然科学版）Issue(4)：132-135,141,5.
一类带投资和干扰的双到达过程风险模型
A Kind of Double Arrival Process Risk Model with Investment and Disturbance
摘要
Abstract
In this paper,we considered a kind of double arrival process risk model with investment and disturbance. In the model,the premium income is a linear function of time t and the two arrivals of the claims follow compound Poisson processes. Moreover,we took investment and random disturbance into account. Using martingale analysis,we obtained the Lundberg inequality and the accurate expression of ruin probability. Using differential calculus and Itô formula,we obtained the integro-differential equation for survival probability. When the claims were exponentially distributed,we derived a differential equation for the survival probability. The results of this paper provide some theoretical guidance and have application values for the insurance companies and insurance regulatory authorities to set up early warning measures.关键词
Poisson过程/破产概率/鞅/Lundberg不等式/Itô公式Key words
Poisson process/ruin probability/martingale/Lundberg inequality/Itô formula分类
数理科学引用本文复制引用
李学锋..一类带投资和干扰的双到达过程风险模型[J].中南民族大学学报（自然科学版）,2015,(4):132-135,141,5.基金项目
中央高校基本科研业务费专项资金资助项目 （）
