两类带收益的多险种风险模型的研究-应用数学专业论文.docxVIP

ABSTRACTThe ABSTRACT The risk theory is the basic discipline of learning financial mathematics and the actuarial mathematics of inSlLrance and its core is the study of the ruin theory．In this text，based on the classical risk model，we construct and research two kinds of new risk models with return．Finally we obtain some expressions or characters of the variables about ruin． Four chapters constitute this text． In the fnst chapter,we simply introduce the history,the present conditions of the risk theory and the main resulL and we especially pay more attention on the classical risk model．finally we present the main content ofthis text and the main result ofmy research． In the second chapter，we outline the knowledge about expe． -ctation，point process，martingale，Ito’S formula and Brownian motion． TIlis knowledge is also the foundation ofthe text． In the third chapter,we point out the location of the classical risk model．and then construct a new double-multiple risk model with interest force．We analyze and diSCUSS the new model．Finally we attain the integral equations of the non-ruin probability,the immediate distribution before ruin and the deficit distribution at the time of ruin；by the way we present the recursive equations of the immediate distribution before ruin and the surplus distilbution at the time ofruin． In the fourth chapter,we point out the deficiency ofthe model which we construct in the third section,then construct a new multiple risk model with stochastic return on investments．硼1en we analyze and discuss this model by the Ito·S formula and other mathematical tools，and finally present the integral equations and integral-differential equations of the non-ruin probability,the supremum distribution before ruin,and the surplus distribution at the time ofruin KEY WORDS the classical risk model，interest force，ruin probability, stochastic return on investments Ⅱ 原创性声明本人声明，所呈交的学位论文是本人在导师指导下进行的研究工 原创性声明 本人声明，所呈交的学位论文是本人在导师指导下进行的研究工 作及取得的成果。尽我所知，除论文中特别加以标注和致谢的地方外， 论文