常利率下带干扰的离散风险模型的研究.pdfVIP

摘 要 经典风险理论主要用来处理保险事务中的风险模型，其中研究最 为彻底的要数经典风险模型。经典风险模型描述的是一种单险种且忽 略众多因素的完美的风险模型，正因如此，它根本无法满足当今保险 公司的实际需求，因而对多险种风险模型这样符合实际经营的模型研 究就成为了必要。基于这种想法，本文讨论了双险种风险模型情形下 的破产问题，并加入了常利率和干扰因子。在第三章中，就理赔到达 分别服从Poisson 过程和二项过程的离散型风险模型进行讨论，得到了 此模型的最终破产概率及Lundberg 不等式，并同时考虑了投资利率和通 货膨胀的影响。本文还将保单到达过程推广，在第四章中建立了广义 双二项风险模型，讨论盈余过程的性质，得到生存概率，破产概率的 一般表达式及Lundberg 不等式。由于风险的不确定性，保险公司可以通 过购买再保险来减少承保的风险，本文在第五章中介绍了比例再保险 模型，利用鞅方法得到了破产概率，并利用拉格朗日乘数法求出收益 最大化的最优自留比例。这样既加强了模型的现实描述能力，又对保 险公司的安全经营及监督管理有重大意义。 [关 键 词]: 双险种；常利率；Poisson 过程；二项分布；破产概率。 I Abstract The classical risk theory is mainly used to risk model to deal with insurance affairs, one of the most to the number of the classical risk model thoroughly. Description of the classical risk model is a single line and ignore the perfect model of risk factors, because of this, it does not meet the requirements of todays insurance company, so the multi-insurance risk model that accords with the model of the real operation is necessary. Based on this idea, this paper discussed the ruin problem of risk model under constant interest rate, and joined and interference factor. In the third chapter, it claims to discrete risk model obeying process and two process are discussed, obtained the ultimate ruin probability and the inequality of the model, and at the same time, considering the influence of investment interest rate and inflation. The premium arrival process, in the fourth chapter the generalized double two risk model is established, discuss the nature of surplus process,