一类变保费双Cox风险模型的鞅分析

Abstract

Abstract:

This paper deals with a double Cox risk model of variable premium with investment income and reinsuranceU(t)=u+V1(t)=u1+u2+∑〖DD(〗M1(t)〖〗i=1〖DD)〗Xi-∑〖DD(〗M2(t)〖〗j=1〖DD)〗Zj+u2W(t).Using martingale obtained the expression of upper bound of the ultimate ruin probability -ru·C(r) on the assumption that M1(t) and M2(t) were correlated. And under special conditions M1(t)=β(t)M2(t), explicit upper bound of the ultimate ruin probability ψ(u)≤e-Ru was got, where R is Lundberg index.

Key words: Cox process, Brownian motion, martingale, stopping time; , Lundberg index

CLC Number:

O211.6

LEI Shu-Jiang, BAO Shu-Xin. Martingale Analysis on a Double Cox Risk Modelwith Variable Premium[J].J4, 2012, 50(03): 477-.

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Martingale Analysis on a Double Cox Risk Modelwith Variable Premium

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