一类离散时间控制风险模型的破产概率的令开究.pdfVIP

一类离散时间控制风险模型的破产概率的研宄 ONE CLASS OF STUDY FOR RUIN PROBABILITIES IN A CONTROLLED DISCRETE-TIME RISK MODEL ABSTRACT In this thesis,we mainly study the ruin probabilities in a controlled discrete-time risk model with a Markov chain interest under some conditions of proportional reinsurance. And the loss processes are assumed to have an AR (1) structure. Our aim is to study the ruin probabilities in this model. First of all, we give some instructions about the classic Lundberg-Cramer risk models, at the same time, some other models with interest rate and also some general discrete-time models are given. We obtain the recursive and integral equations for the limited time and infinite time ruin probabilities and the upper bounds for the ruin probabilities by the inductive approach and the martingale approach. KEY WORDS: discrete-time risk models, reinsurance, ruin probabilities, Markov chain, interest, AR ( 1), recursive and integral equation, the induc- tive approach, the martingale approach ii 河北工业大学硕士学位论文 目录 时 歴 i 英文摘要ii 目录iii 符号说明iv 第一章绪论 1 § 1 - 1 研究背景及现状 1 § 1 - 2 研究的目的和意义 2 § 1 - 3 论文结构及主要研究内容 3 第二章预备知识及一些已知结果4 § 2 - 1 预备知识 4 § 2 - 2 经典破产风险模型的研究 5 § 2 - 3 带有投资的破产概率的风险模型研究6 § 2 - 4 离散时间模型的一些已知结果 7 § 2 - 4 - 1 带有利率的风险模型的研究 7 § 2 - 4 - 2 再保险情形下离散时间风险模型的研究 9 第三章模型的推广及证明12 § 3 - 1 模型介绍 12 § 3 - 2 用递推法给出破产概率满足的积分方程 14 § 3 - 3 用归纳法给出破产概率的界 16 § 3 - 4 用鞅方法给出破产概率的界 18 第四章结论21 # # 文南犬22 酬 24