The Ruin Probability of the Compound Negative Binomial Risk Model with a Completely Stochastic Premium

摘要：

Based on the compound negative binomial risk model, this paper attempts to construct a compound negative binomial risk model with a completely stochastic premium where the premium of every policy and the number of insure charges at per unit time are random variables. Applying discrete martingale theory, the paper explores some properties of a compound negative binomial risk model with a completely stochastic premium. Consequently, it proves the formula of ultimate ruin probability and the Lundberg inequality.

关键词： Negative Binomial distribution Risk Models Ruin Probability Martingale Optional sampling theorem

作者: Ya-feng Xia Xiao-xing Zhou Tian-en Su

作者单位: School of Sciences, Lanzhou Univ. of Tech., P. R. China, 730050 Quanzhou Teachers College, P. R. China, 362000

会议类型: 国际会议

会议名称: 第二届中国对策论及其应用国际学术会议(The Second International Conference on Game Theory and Applications)

会议地点: 青岛

会议语种:英文

页码: 214-218

在线出版日期: 2007-09-17（万方平台首次上网日期，不代表论文的发表时间）