随机利率下可变保费的双复合Poisson时间盈余风险模型
he time surplus risk modle of variable premium rate with stochastic interest
本文考虑了随机利率下，保费收取过程和理赔过程均服从复合Poisson分布的时间盈余风险模型，并得到了相应的破产概率计算公式及其指数型上界的表达式，所得到的结论更接近于真实值。
he purpose of this paper is to consider a time surplus risk modle with stochastic interest in which the premium rate is a random variable. Under the general condition ,the formula of the ruin probability and the Lundberg inequality are dervied.The obtaining ruin probability is more significance than which without considering these two conditions.
李文婷、牛明飞
数学财政、金融
时间盈余过程随机利率双复合Poission过程破产概率调节系数
time surplus processstochastic interestdouble compound Poisson processruin probabilityadjustment coefficient
李文婷,牛明飞.随机利率下可变保费的双复合Poisson时间盈余风险模型[EB/OL].(2009-04-09)[2025-08-02].http://www.paper.edu.cn/releasepaper/content/200904-285.点此复制
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