几类带干扰双险种风险模型的联合分布和破产概率的研究-概率论与数理统计专业论文.docxVIP

摘 摘 要 风险理论是当前精算和数学界研究的热门话题，主要借助概率 论与数理统计工具构造保险经营中的盈余风险模型，并研究其破产概 率、调节系数等问题．随着保险公司经营规模的不断扩大，险种类型 的日益增多，用古典风险模型及其推广的单一险种的风险模型来研究 其风险经营过程已存在很大的局限性．用不同强度的点过程描述不同 险种的理赔次数，不同分布的随机序列描述不同险种的理赔额，建立 多险种的风险模型，是风险理论研究的一个新方向，研究结果将对公 司的经营及监管部门的监管更有实际的指导意义．本文主要研究了几 类带干扰的双险种的风险模型，引入了几个联合分布函数重要指标． 第一、二章概括地介绍了风险理论的研究现状、推广方向及风险模型 研究的预备知识；第三章中把古典风险模型推广到带干扰的离散索赔 Erlang(2)双险种风险模型，讨论了所引入的这几个联合分布函数和 破产概率的性质；第四章从再保险的角度出发，把古典风险模型推广 到带干扰的再保险双险种风险模型，推导了该情形下的破产概率和联 合分布函数所满足的积分微分方程；第五章考虑保费和索赔并非如在 经典模型中单一到达而为批量到达的情形，建立带干扰的批量到达的 双险种风险模型，推导其破产概率的性质；第六章从利率角度出发， 考虑在利率满足一阶自回归方程情形下的风险模型，建立了一类利率 相依的双险种风险模型，得到了在这个模型中联合分布函数及破产概 率的一些性质． 关键词风险模型，破产概率，批量到达，联合分布函数，鞅方法 ABSTRACTRisk ABSTRACT Risk theory is a popular topic in the research of actuarial science and mathematics currently．It mainly constructs the risk models with profits in managing insurance by the tools of the probability theory and statistics．It also studies the ruin probability,adjustment coefficient and some other problems．Following the scale of the business expanding and the type of insurance increasing day by day,the limitations of the classical risk model and other generalizes risk models has been exposed．That using the point processes with different intensity,different distribution series to describe妇claim numbers，claim amount of different insurances，and constructing the multiple—line risk model，is a new direction in risk theory 致udy．The research has a more practical meaning in conducting the management of companies and supervisory organizations． This thesis mainly deals with several risk models of multiple line that perturbed by diffusion and study the joint distribution functions as important indexes．In chapter one and two，It gives a brief instruction to present situation in risk theory,generalized direction and the prepared knowledge in studying risk models．In chapter three，the classical risk model is generalized to the Erlang(2)risk model with discrete claims perturbed by diffusion，and discuss the properties of the joint distribution f