具有两类相关索赔的二元风险模型的若干题目.pdfVIP

摘要 摘要 古典的复合Poisson风险模型主要考虑了同一类风险构成的风险模型。但是 由于现阶段保险公司经营的规模不断扩大，考虑到用单一险种的风险模型来描 述风险经营的局限性，本文将古典模型的框架打破，构造了一个更加切合实际 的风险模型，在这个风险模型中，允许两类相关风险同时存在，建立了具有两 类相关索赔的二元风险模型并且主要研究了该风险模型的三个性质：由两类相 关风险的索赔额构成的二维索赔额随机变量在互斥的情形下，当索赔总次数服 两类风险之间具有独立性；进而讨论了在古典风险模型下，两类索赔所构成的 盈余过程仍具有独立的性质。 ’ 二 关键词：相关索赔复合Poisson过程Poisson风险过程稀疏过程 维互斥随机变量 Abstract Classical Poissonriskmodel considerstheriskmodel compound mainly ofthesame of atthis the ofthe composed typerisks．However,becausestagescope insurance viewofthelimitationof the continuouslyexpands，in describing companies riskbusinesswitha ofrisk breakstheframeworkofthe type model，thispaper single constructsamorerealisticriskmodel．Inthisrisk classical model，two model，and withtheestablishmentof ofcorrelatedrisksareallowedtoCO—exist types tocorrelated thethree two．dimensionalriskmodelrelated aggregateclaims，and are studied：inthe exclusive oftheriskmodelmainly mutually properties oftwo．dimensionalclaimsizerandomvariablesconstitutedthetwo circumstances by risk thetotalclaimnumber isPoisson ofcorrelated types claims，when process two ofclaimsarePoissonrisk process，thetypes processesrespectively；the