| 再保险情形下离散时间过程的破产概率 |
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| 引用本文： | 谢福云.再保险情形下离散时间过程的破产概率[J].太原师范学院学报(自然科学版),2011,10(1):44-47. |
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| 作者姓名： | 谢福云 |
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| 作者单位： | 山西大学数学科学学院,山西太原,030006 |
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| 摘 要： | 文章研究在一定的再保险情形下,随机利率利息下的离散时间的破产概率问题.与经典的破产风险模型相比,一定比例下的再保险策略可以相应地降低保险公司破产的风险.给出了有限时间破产概率的递归积分方程,以及无穷时间破产概率的一个上界,在稳定控制策略下,得到了无穷时间下的破产概率的Lundberg上界不等式.最后,给出了最大上界定理的一个应用,考虑索赔额服从NWUC分布这一特殊情形下的一个结果的情况.
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| 关 键 词： | 再保险 破产概率 上界 离散时间风险模型 |
Ruin Probability fo Discrete Time Risk Models on Reinsurance and Dynamic Boundary |
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| Xie Fuyun.Ruin Probability fo Discrete Time Risk Models on Reinsurance and Dynamic Boundary[J].Journal of Taiyuan Normal University:Natural Science Edition,2011,10(1):44-47. |
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| Authors: | Xie Fuyun |
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| Institution: | Xie Fuyun(School of Methematical Sciences,Shanxi University,Taiyuan 030006,China) |
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| Abstract: | We consider ruin probabilities for discrete time risk models with stochastic rates of interest on reinsurance.Compared with the classical ruin risk model,a certain proportional reinsurance strategy can correspondingly reduce the risk of insurer bankruptcy.Recurisive and integral equations for the finite ruin probabilites and bounds for ultimate ruin probabilities are given and generalized Lundberg inequalities for the infinite ruin probabilities are derived given a stationary policy.Finally,we give and appl... |
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| Keywords: | reinsurance Ruin probability upper boun discrete time risk model |
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