基于税收和利率条件下马氏环境中的风险模型-概率论与数理统计专业论文.docxVIP

并在此条件下得到了破产概率所满足的一个微分积分方程． 并在此条件下得到了破产概率所满足的一个微分积分方程． 3、利用新模型的盈余方程，得到了保险公司破产前缴纳税收总 的折现期望所满足的一个微分积分方程． 关键词：马氏环境，风险模型，随机利率，税收 ll ABSTRACTRuin ABSTRACT Ruin theory has been one of the main research topics in classical risk model，which discusses the model’S ruin probability in finite time，the probability of ultimate ruin，and the surplus before ruin and the deficit of ruin and SO on．There is a huge amount of literatures on ruin theory．The scholars research the ruin theory from di fferent points of view．In recent years，one interesting development is to consider more general ruin functions rather than the ruin probabi l ity．For example，Gerber and Shiu [2】introduced the penalty function(also known as Gerber-Shiu function) to consider the time of ruin，the surplus before ruin and the deficit at ruin． Another extension of the classic Lundberg problem is to consider more general and more reasonable models．Recently，the Markov-modulated model insurance risk becomes popular．This model was proposed by Asmussen[1 0]in which claims i．nter-arrivals and claim sizes are lnlluenced by an external environmental process。which can be weather conditions，war，or earthquake etc．Zhu and Yang[9】argues that this model can capture the feature that insurance politics may need to change if ‘ml or environment changes．Followingchangest scholars investigated how tax influences the behavior of the ultimate ruin probabi lity under the Markov-modu lated model insurance ri sk and 111 obtained obtained the differential equations of tax and ruin probability．This paper is developed under the risk model in random environment． The main innovations lie in the following aspects： 1．Consider the risk model of insurance companies under the stochastic economic environment，and introduce stochastic interest rate factor，and establish a risk surplus model with tax and interest rate． 2．Under the new model，we have obtained safe load condition of the surplus process by scaling measures and a differential equation of ruin