两类离散相依风险模型的破产问题概率论与数理统计专业论文.docxVIP

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.本文对以下两类相依风险的破产问题进行了研究: 第一,考虑了一类离散相依的风险模型,该模型假设主索赔以一定的概率引起两种副 索赔,而第一种副索赔有可能延迟发生.通过引入一个辅助模型,对破产前盈余和破产时赤 字进行分析得到了其联合分布递推公式、初始盈余为 0 时的最终破产概率表达式,并结合 保险实例进行了数值模拟. 第二,考虑了一类索赔额相依的风险模型 ,该模型假设主索赔达到一定的额度会产生 一副索赔,而每次副索赔有可能延迟发生.通过引入辅助模型,得到了破产前盈余和破产时 赤字的联合分布的递推公式、初始盈余为 0 时最终破产概率的表达式,并结合保险实例进 行了数值模拟. 关键词:相依索赔;联合分布;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, the discrete risk model with correla ted cla ims is consider ed.Every ma incla im ma y produce two kinds of deputy cla im and the occurrence of the first kind of deputy cla im ma y be dela yed.By mea ns of auxilia ry model,we obain the recursive formula of the joint distribution of the surplus immed iately before ruin and deficit at ruin.Further more,t he explicit expression for the probability is given when the initia l surplus is zero.Fina lly,we show some numer ica l results according to the insurance case. Secondly,the model with correla ted cla ims in which ever y cla im can produce a deputy cla im according to the amout of it is considered ,the deputy cla im ma y be dela yed.By mea ns of auxilia ry model, we obain the recursive formula of the joint distribution of the surplus immed iately before ruin and deficit at ruin.Further more,t he explicit expression for the probability is given when the initia l surplus is zero.Fina lly,we show some numer ica l results according to the insurance case. Key words: correla ted cla ims; joint distribution; 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····································································································