摘要
经典破产理论假设保险公司的盈余过程是时齐的独立平稳增量过程.但是,由于保险公司业务种类的日益增多和复杂,经典的破产模型已经不能很好地描述现实过程.随着研究的深入,人们对经典风险模型进行了各种推广,建立了更符合实际的破产模型.假设理赔额到达过程和保单的到达过程为Poisson过程,保单的保费和各险种的理赔额均为随机序列,并考虑到保险公司的投资利率和通货膨胀率,讨论了一类带干扰的两险种风险模型最终破产概率的一般表达式,得到了与经典风险模型相同的破产概率和Lundberg上界.
Classical ruin theory assumes that the surplus in an insurance company has stationary and independent increments. However, because of the increasing complexity of insurance and reinsurance products, the classical ruin theory has some limitation in perfect describing the practical process. As the development of research, a more realistic ruin model has been constructed by generalizing the classical ruin theory. In this paper, we assume that the arriving processes of claims and insurance policy are both Poisson process, and that the insurance premiums and all claims are random time-series. Considering the investment yield of insurance company and inflation rate, this article discusses the general equation of ruin probability in risk model with two-types of risk by diffusion, and concludes the same ruin probability and the Lundberg upper bound as those in the classical risk model.
出处
《辽宁师范大学学报（自然科学版）》
CAS
北大核心
2008年第3期275-277,共3页
Journal of Liaoning Normal University:Natural Science Edition
