JI Hong-wei, KONG Fan-liang. The Application of Martingale in a Generalized Risk Model with Negative Binomial Distribution[J]. 2010, 15(1): 67-69.DOI:
鞅在一类推广后的负二项风险模型中的应用
摘要
考虑了保费、理赔支付时间为离散时间的风险模型
根据寿险保险实际情况
研究了带有利率、通货膨胀率及带退保单因素的负二项风险模型及其盈余的性质.应用鞅分析方法
探讨了由该风险模型得到的破产概率的一个表达式.
Abstract
In this paper
considering the effects brought by interest rate
inflatable rate and surrender in life insurance
we study a discrete time risk model with negative binomial distribution and its character of surplus and a expression of ruin probability of the risk model by martingale analysis.