大论文——常利率复合二项双险种风险模型的进一步综述.doc

常利率复合二项风险模型的进一步研究 基础数学专业研究生 乔小宁 指导老师 乔克林副教授 摘要：本文主要研究了常利率下的双险种风险模型，且其保费和理赔的到达过程为二项过程，即常利息下的复合二项双险种风险模型，对其破产概率及其相关问题进行了分析研究.具体的研究内容及成果如下： 本文创造性的提出了了同时考虑利息力、保费和理赔的到达过程为二项过程且可能出现两种索赔的特殊风险模型，即常利息下的复合二项双险种风险模型，从而对已有文献的模型进行了更接近现实的推广.全文的主要研究内容及成果如下： 研究了常利息下的复合二项双险种风险模型的破产概率问题，首先得到了此模型下保险公司稳定经营的必要条件；其次证明了调节系数的存在性，并利用递归的方法，分别的此模型的破产概率的上界. 研究了此模型的破产概率和生存概率两种精算指标，并得到了有限时间内的破产概率和最终破产的具体分布，以及生存概率的具体分布. 研究了此模型在各种精算量的具体分布下调节系数所满足的方程.利用MATLAB软件，研究了利率因素对破产概率的影响，并结合具体实例进行数值模拟. 对该论文进行概括性的总结,同时指出在本论文的基础上,我们将要开展的工作. 关键词：风险模型 破产概率 生存概率 利率因素 双险种 二项过程 递归方法 Further Study of Compound Binomial Risk Model with Constant Risk In this paper we creatively present a special risk model, whose premiums and claims arrival process is binomial process, with double type -insurance. That is double type- insurance compound?binomial?risk model with constant interest rate .The model was more lose to the reality .The research content and the achievement of specific as follows: Firstly, the ruin probabilities of compound binomial risk model with double type-insurance and interest force was discussed. The necessary condition of the insurance company’s stably management was given; The existence of this model’s adjustment coe?cient was proved; And using the?recursive method to obtain two estimates on bankruptcy probability of this model. Secondly，two kinds of actuarial index were discussed in this model ,which are the ruin probability and the probability of survival. The distribution of the ruin probability in finite time , the ruin and survival probability was obtained.( And the distribution ,which is about ruin probability in finite time , the ruin and survival probability, was obtained) Thirdly, the equation, which is about adjustment coefficient, was studied under the distribution of all kinds of the actuarial amount. Using MATLAB software to study the interest rate the influence of factors on the ruin probability, and combined with concrete examples to perform numerical simulation. Finally, we s