随机环境下复合二项过程保险模型的破产概率.pdfVIP

摘 要 风险理论是保险精算中一个重要的部分，就是利用概率论与随机过程的知识 和方法，根据在经营中保险公司的实际问题建立的数学模型。本文第一章综述了 近百年来众多学者对破产理论的研究成果。首先介绍了 L-C 经典破产模型，然 后简述了调节系数法得出的 Lundberg 型上界。但是随着金融业的发展，传统的 经典模型已不再适用，在第二章引入了马氏环境下复合二项过程保险模型的破产 概率模型，利用随机过程理论，求出了它的破产概率递推式，并给出了两个特殊 情况下的破产概率表达式；在第三章将上述模型继续推广至 n 状态情况下，用相 似的方法，得出了相应的破产概率递推公式；并用经典方法求出推广模型的 Lundberg 型上界。 关键词：随机环境；破产概率；复合二项过程 III Abstract Risk theory is a very important part in actuarial,which makes use of the methods of probability and stochastic process to establish mathematical about insurance companey’s management,and model according to analysis.this thesis is divided to three sections,In Chapter 1,we review the results of ruin theory over the past hundred years.The research of ruin theory begins from Filip Lundberg,on this basis,Harald Cramer and his school set up a relationship between general stochastic process and risk theory.However,as the complexity of the reality background,it is not very appropriate to characterize the risk process of the insurance company with classical risk model,so in recent years,the generalization of the classical risk model has attracted many mathematicians and actuaries,also some good results have been obtained,the risk model has been improved gradually.So in Chapter 2,we give the risk model with a compound Markov binomial model.Recursive formulas are provided for the computation of the ruin probabilities over finite time and infinite time and two examples are also provided. In Chapter 3,we extend this model to n-dimensional Markov chain,some similar conclusions are provided and a Lundberg exponential bond is derived for