重尾索赔下带干扰复合Poisson—Geometric模型的破产概率

摘要

复合Poisson-Geometric风险模型能够较好地刻画风险事件和赔付事件有可能是不等价的情形,在保险中有其实际应用的背景.研究了重尾索赔下带干扰的复合Poisson-Geometric风险模型,得到破产概率所满足的一个渐近表达式.这个结果在形式上与经典的带扰动的复合Poisson风险模型是一致的.%The compound Poisson-Geometric risk model is more appropriate for describing the case that risk event and claim event are not equivalent, so it has significant background in insurance practice. In this paper the authors investigate the Poisson-Geometric risk model perturbed by diffusion under heavy- tailed claims, and the asymptotic expression satisfied by the ruin probability is derived. The result ob- tained in the present paper is consistent with the classical risk model perturbed by diffusion.