带干扰的索赔次数相依风险模型的破产问题概率论与数理统计专业论文.docx

山东科技大学硕士学位论文摘要 山东科技大学硕士学位论文 摘要 摘要 在风险相依的条件下 ,对于破产概率问题的研究目前已经成为风险理论的一个重要 研究方向。文对以下带干扰的相依风险模型的破产问题进行了研究: (1) 考虑了带干扰的索赔次数相依的风险模型,该模型假设保费随机收取，而两险种 的索赔过程是通过一个共同的索赔过程相关 ,讨论了在不同保费计算原理下相依性对保 费的影响，并用鞅方法得到了其最终破产概率及 Lundberg 不等式;通过比较 Lundberg 指数，得到了相依性都增大了风险过程破产概率的结论;最后结合实例进行了数值计算。 (2) 考虑了带干扰的保费随机收取具有 n 种索赔次数相依的风险模型 ,该模型假设 保费随机收取，第 k 类风险引起的索赔分为主索赔和副索赔的情况，而一个主索赔引起 的副索赔的索赔次数服从二项分布。得到了模型的一些数字特征和性质；利用鞅方法求 出了破产概率的上界和破产概率的一般表达式；将索赔相依与独立的情况进行了比较， 得出了索赔相依时风险更大的结论。 关键词:相依索赔；风险模型；破产概率 Abstract At present, the study of ruin probability under correla ted risk is becoming more and more important in risk areas. This thesis is devoted to the study of two kinds of correla ted discrete risk model, it contains: Firstly, we consider the risk model with interference whose number of cla ims are dependent, model premium charged at random is assumed in the risk, and cla ims process of the two risks are related through a common process, and independence influences on premium when premium calculation principles are different, and the ultimate ruin probability and Lundberg ineq uality are obtained by martinga le met hod; through comparing Lundberg index, we obtain that the dependency increases risk process ruin probability conclusion; fina lly, numbers are calculated combined with an example. Secondly, we consider the risk model whose insurance premium is charged at random with interference and n kinds of dependent cla im frequency, we suppose the premiumis charged at random, the cla im caused by the k kind of risk is divied into ma in cla im and vice cla im, and the times of vice cla im obey binomia l distribution.we get some figure features and properties of the model;we get the ruin probability upper bound and its genera l expression by martinga le approach;we compare dependent cla im with independent cla im, and the conclusion of more risk with dependent is got. Key words: dependent cla ims; risk model; ruin probability 山东科技大学硕士学位论文目录 山东科技大学硕士学位论文 目录 目 录 1 序言 1 1.1 破产理论概述 1 1.2