some results on a double compound poisson-geometric risk model with interference一些结果与干扰双复合poisson-geometric风险模型.pdf

Theoretical Economics Letters, 2012, 2, 45-49 /10.4236/tel.2012.21008 Published Online February 2012 (http://www.SciRP.org/journal/tel) Some Results on a Double Compound Poisson-Geometric Risk Model with Interference Dezhi Yan Department of Economic, Shandong Jiaotong University, Jinan, China Email: dezyan@163.com Received November 15, 2011; revised December 10, 2011; accepted December 18, 2011 ABSTRACT In this paper, we study the actual operating of an insurance company with random income. A double compound Pois- son-Geometric risk model with interference was established. By using the martingale method, the adjustment coeffi- cient equation, the formula and the upper bound of ruin probability, the time to reach a given level in this new risk mo- del were obtained. Keywords: Ruin Probability; Compound Poisson-Geometric Risk Model; Martingale; Stopping Time; Moment Generating Function; Laplace Transform; Adjustment Coefficient Equation 1. Introduction uation for ruin probability and proved a Lundberg-type inequality corresponding to the ruin probability by means As one of the most important topics in risk theory, the of martingale methods [3]. Gerber and Shiu [5] and Ger- ruin problem in stochastic environments has been studied ber and Landry [6] continued studying the expected dis- by many researchers [1,2]. In classical risk model, the