常利力下双复合泊松风险模型破产概率的上界
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Keywords: 双复合泊松风险模型,常利力,鞅,递归,破产概率
Abstract:
对经典的lundberg-cramer风险模型和fangandluo’s风险模型进行了推广.考虑了常利力下双复合泊松风险模型.模型中保费和理赔到达计数过程均为齐次poisson过程.借助鞅和递归技巧,获得该风险模型的最终破产概率的指数型上界.
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