非时齐复合Poisson风险模型的破产特征量分析

Abstract

Abstract:

In this paper, the classical risk model is extended to nonhomogeneous compound Poisson risk model. Firstly, both the classical method and the time-varying method are used to calculate the ruin-related quantities for this model, and the analytical expression of the renewal equation is obtained. Secondly, for the time-varying model, the generalized Gerber-Shiu function is defined, which is to verify the effectiveness of the time-varying method for the nonhomogeneous compound Poisson risk model. Finally, when each claim follows an exponentially distribution, the corresponding ruin probability and Gerber-Shiu function are calculated.

Key words: Ruin probability, Time-varying method, Nonhomogeneous Poisson process, Gerber-Shiu function, Renewal equation

CLC Number:

O211.6

Yingchun Deng,Man Li,Ya Huang,Jieming Zhou. On the Analysis of Ruin-Related Quantities in the Nonhomogeneous Compound Poisson Risk Model[J].Acta mathematica scientia,Series A, 2020, 40(2): 501-514.

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On the Analysis of Ruin-Related Quantities in the Nonhomogeneous Compound Poisson Risk Model

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