干扰条件下变破产下限多元风险模型的破产概率

J4 ›› 2011, Vol. 46 ›› Issue (3): 58-62.

干扰条件下变破产下限多元风险模型的破产概率

于文广¹,黄玉娟²

1.山东经济学院统计与数学学院, 山东济南 250014;
2.山东交通学院数理系, 山东济南 250023

收稿日期:2010-08-20 发布日期:2011-04-21
作者简介:于文广(1977- ),男,副教授,主要研究领域为保险风险管理与精算、随机控制及其应用. Email: yuwg@mail.sdu.edu.cn
基金资助:
教育部人文社会科学研究项目 (09YJC910004,10YJC630092,08JA910003); 山东省自然科学基金项目(ZR2010GL013); 山东省高等学校人文社会科学研究项目(J10WF84);山东省统计科研重点课题基金项目(KT1060，KT1025); 山东交通学院院科研项目(Z201031)

Ruin probability in an interfered multi-type risk model of a variable ruin limit

YU Wen-guang¹, HUANG Yu-juan²

1. School of Statistics and Mathematics, Shandong Economic University, Jinan 250014, Shandong, China;
2. Department of Mathematics and Physics, Shandong Jiaotong University, Jinan 250023, Shandong, China

Received:2010-08-20 Published:2011-04-21

摘要/Abstract

摘要：

近年来许多文献在研究风险模型的破产概率时假设破产下限为0,而在实际保险实务中,当保险公司的盈余过程低于某一限度时,保险公司就面临着破产。针对该问题,本文研究了干扰条件下多元风险模型在假定变破产下限的破产概率, 得出了破产概率所满足的不等式和具体表达式,并且在破产下限为某些特征函数时,讨论了调节系数方程和调节系数的上下界。

关键词: 破产下限; 破产概率; 干扰; 鞅; 调节系数; 停时

Abstract:

In recent years, the limit of ruin has been set as 0 in much literature when studying ruin probability in risk models, while, in practical insurance businesses, the insurance company confronts the ruin issue when its surplus process is lower than a certain limit. In view of this problem, the probabilities of ruin in an interfered multitype risk model are investigated on the assumption that the limit of ruin is variabie and obtain the inequality of the probability of ruin and accurate expression of the ruin probability. In addition adjustment coefficient equations are established and the upper bond and lower bond of the adjustment coefficient are estimated on the assumption that the limit of ruin is especial functions.

Key words: the limit of ruin; the probabilty of ruin; diffusion; martingle; adjustment coefficient; stopping time

于文广1,黄玉娟2. 干扰条件下变破产下限多元风险模型的破产概率[J]. J4, 2011, 46(3): 58-62.

YU Wen-guang1, HUANG Yu-juan2. Ruin probability in an interfered multi-type risk model of a variable ruin limit[J]. J4, 2011, 46(3): 58-62.

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