几类特殊双险种更新风险模型的研究-概率论与数理统计专业论文.docxVIP

摘要本文对经典风险模型进行了推广，索赔计数过程不再是泊松过程 摘要 本文对经典风险模型进行了推广，索赔计数过程不再是泊松过程 而是普通更新过程和一类延迟更新过程，发生索赔的险种也推广到了 两种，我们对这样的模型关于Gerber-Shiu罚函数进行了一些研究。 本文主要由五部分组成。 在第一章中，我们简单的介绍了风险理论的历史、现状与主要成 果，重点阐述的是有关经典风险模型的问题和关于它的一些推广。而 且给出了本文研究的内容与主要结果。 在第二章中，我们简单的介绍了期望、点过程、卷积和拉氏变换 以及微分方程的一些基本知识。这些知识是本文的理论基础。 在第三章中，我们对一类索赔发生有两种不同的险种可能参与索 赔的普通更新风险模型进行了讨论，得到了Gerber—Shiu罚函数、破 产概率、破产前瞬间盈余分布、破产时赤字分布的一些结论。 在第四章中，我们把第三章中模型的索赔计数过程改成一类延迟 更新过程，利用拉氏变换及其逆变换，得到了普通更新模型和这类延 迟更新模型的Gerber-Shiu罚函数和破产概率的一些关系式。 在第五章中，我们对第三章、第四章中的风险模型引入常利率，． 得到了索赔计数过程分别为普通更新过程和延迟更新过程的一些积 分方程。 关键词更新风险模型，Gerber-Shiu罚函数，破产概率 ABSTRACTThe ABSTRACT The classical risk model is generalized in this text，the claim process is no longer a Poisson process but all ordinary renewal process and the delayed renewal process，and two kinds of claims could occur in one event，we discuss the models on the Gerber-Shiu discounted penalty function． Five chapters constitute this text． In the first chapter,we simply introduce the history,the present conditions of the risk theory and the main result，and we especially pay more attention on the classical risk model and its generalization．Finally we present the main content of this text and the main result of my research． In the second chapter，we outline the knowledge about expectation， point process，convolution and Laplace transform，and some theory on differential equation．This knowledge is also the foundation of the text． In the third chapter,we discuss an ordinary renewal risk model with two kinds of claims which could occur in one event，then get some results on the Gerber-Shiu discounted penalty function，ruin probability,surplus prior to ruin，deficit at ruin． In the fourth chapter,we change the model in chapter three to a delayed renewal risk model，get some relationships between these two models on the Gerber-Shiu discounted penalty function and ruin probability using Laplace transforms． In the fifth chapter,we put the interest on the two renewal models in the third and fourth chapter,and then get some results． K