The Application of Martingale in a Reinsurance Risk Model and the Ruin Probability
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The Application of Martingale in a Reinsurance Risk Model and the Ruin Probability
Vol. 14, Issue 6, Pages: 70-72(2009)
作者机构:
哈尔滨理工大学应用科学学院
作者简介:
基金信息:
DOI:
CLC:F224;F840
Published:2009
稿件说明:
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SHEN Ya-nan, KONG Fan-liang. The Application of Martingale in a Reinsurance Risk Model and the Ruin Probability[J]. 2009, 14(6): 70-72.
DOI:
SHEN Ya-nan, KONG Fan-liang. The Application of Martingale in a Reinsurance Risk Model and the Ruin Probability[J]. 2009, 14(6): 70-72.DOI:
The Application of Martingale in a Reinsurance Risk Model and the Ruin Probability
摘要
本文从保险公司的实际经营出发
引入一个新概念——再保险.对已有的风险模型进行推广
提出了一类带有干扰项且具有再保险收益的双复合Poisson模型
并利用鞅分析证明了其破产概率仍满足Lundberg不等式和一般公式.
Abstract
In this paper
the authors introduce a new concept-reinsurance.The exsisting model is extended to a reinsurance compound Poisson risk model with interference.The Lunderberg inequality and the common formula of the ruin probability are gotten in terms of some techniques from martingale theory.