利率因素下风险模型的破产研究-计算数学专业论文.docxVIP

燕山大学理学硕士学位论文Abstract 燕山大学理学硕士学位论文 Abstract In the field of Insurance Actuarial Mathematics．risk theory iS concerned by many departments on actuarial theory and its applications recently．The influence of fluctuation of interest rate on insurance agent is tremendous．As the trade ofthe risk,insurance agent’S own risk cant bc ignored．According to these，the paper studys deeply the ruin problem of risk models under interest rate．The aim is to make the insurance company better evade risk and work steadily in theory． The paper sets up several models on constant interest rate and random intcrest rate．These models are based On former references and more close to the reality．By studying the models，the formulas of ruin probability and the moments of claim size are obtained．The relations of capital interest rate， inflation rate，adjustment coefficient，disturbance and ruin probability are discussed．By martingale approach,individual risk model is studied． At first，the development of insurance and the present position of risk theory are introduced．The basic theories about interest and risk are also introduce正 Next，risk models under constant interest rate are discussed．A compound binomial risk model and a double·-type··insurance risk model by disturbance under constant interest rate are set up in the papen Meantime，the explicit expressions ofruin probability and their Lundberg upper bounds are got．These are a generalization ofthe current models and conclusions． The main part of the thesis is ruin estimate of risk models with random interest rate．The ruin problems ofthe models with inflation rate or investment income are studied under random interest rate．Using Reflect Brownian motion and Poisson process to unite modeling for interest rate，the m·step moments of claim size are obtained．Then the time surplus model with random interest Ⅱ Abstractrate Abstract rate is establishe