摘要
在经典风险模型的基础上,本文建立了更符合实际的破产模型,假设理赔和保单的到达过程是Poisson过程,保单的保费和各险种的理赔额均为随机序列,考虑到保险公司的投资利率和通货膨胀率,并且在模型中加了随机干扰项,分析了盈利过程的性质,得出了调节系数方程及相应的破产概率的上限.
Based on the classical risk model, in this paper a more realistic ruin model has been constructed. We assume that the arriving processes of claims and insurance policy are both Poisson process,and that the insurance premium and all claims are random time-series. Consider the investment yield of insurance company and inflation rate and add the diffusion to this model. The properties of surplus process are discussed ,ajustment coefficient equation and the upper bound of probability is obtained.
出处
《黑龙江科技信息》
2009年第30期3-3,158,共2页
Heilongjiang Science and Technology Information
关键词
破产概率
调节系数
维纳过程
干扰
rum probability
ajustment coefficient
Wiener process
diffusion
