一类多险种的风险模型及破产概率论文.docVIP

一类多险种的风险模型及破产概率  摘  要  风险理论是当前精算界和数学界研究的热门课题  经典的风险理论  主要通过运用随机过程理论来研究单一险种经营中的余额过程 并研究  其破产时间 破产概率 调节系数等问题  然而  随着保险公司经营规  模的日益扩大  险种的多元化及新险种的不断开发 单一险种风险模型  的局限性越来越明显  因此  许多学者对经典风险模型进行了推广 使  之能更好的描述保险公司面临的风险  本文从保险公司实际经营出发  提出了一类的多时段  多险种 带  干扰 性  有累积投资收益的风险模型{R( t ),t?≥ 0} 证明了调节系数 R* 的存在 并运用鞅方法得出了最终破产概率?? (u)的Lundberg不等式  * 以及一般公式  ? ( u)??  * E{exp[? R*?? R(Tu ) | Tu???∞]}  其中 u 为保险公司的初始资金  Tu 为破产时刻  　  最后研究多险种风险模型中各参数与调节系数之间的关系 并进行 了相应的数值实验  关键词  多险种  风险模型  鞅方法  调节系数 破产概率  iv A MULTI-LINE RISK MODEL AND THE RUIN PROBABILITY ABSTRACT Risk theory is a hot topic in the present actuarial science and mathematics research. By using stochastic processes theory, the classical risk theory studies mainly the surplus process of single-insurance, ruin time, ruin probability and adjustment coefficient. With the scale of the business expanding incessantly and the types of insurance increasing, there are obvious limitations of the classical risk model. So, in order to describe the risk that insurance company being faced with, many people generalized the classic risk models. In the first, considering the practical operation of insurance company, we construct a multi-period, multi-insurance risk model{R (t ),t?≥ 0} with diffusion and cumulate investment income. Then, we prove the existence of the adjustment coefficient R* . And then, by using the method of martingale, we obtained the lundberg inequality of the ruin probability??(u) : * and the common formula:  ? (u )??  * E{exp[? R*?? R(Tu ) | Tu???∞ ]}  Where u is the initial surplus,　Tu 　is the ruin time. At last, we study the relation between the adjustment coefficient and all v the parameters in the multi-insurance risk model, and we also do some numerical experiments to describe these relation. KEY WORDS: multi-line, risk model, martingale, adjustment coefficient, ruin probability 　 vi 　 上海交通大学　 学位论文原创性声明　 　  本人郑重声明  所呈交的学位论文 是本人在导师的指导下  独  立进行研究工作所取得的成果  除文中已经注明引用的内容外 本学位  论文不包括