安徽工程大学数理学院;
将经典风险模型中Poisson索赔过程推广为广义Poisson过程,给出破产时间、破产瞬间前的余额、破产赤字三特征联合分布函数.在此基础上再将广义Poisson风险模型中的保费收入由线性过程推广为服从一类指数分布,并给出了符合以下3种条件:1)保费收入服从参数为λ的指数分布;2)a=1且保费收入服从b维的Bessel过程;3)当a≠1,a≠0且保费收入服从M(t)=∫_0~t exp(bs+a B_s)ds时相应的复合广义Poisson风险模型下的三特征联合分布函数.
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基本信息:
DOI：
中图分类号:O211.67
引用信息:
[1]刘文震.保费收入服从一类指数分布风险过程下的三特征联合分布函数[J].南通大学学报(自然科学版),2018,17(01):81-86.
基金信息:
安徽工程大学青年科研基金课题(KZ00316082)