| 保险公司破产概率的估计及随机模拟 |
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| 引用本文： | 孙立娟,顾岚.保险公司破产概率的估计及随机模拟[J].系统工程理论与实践,2000,20(7):63-68. |
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| 作者姓名： | 孙立娟 顾岚 |
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| 作者单位： | 中国人民大学统计学系 |
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| 基金项目： | 国家自然科学基金!(19970175) |
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| 摘 要： | 研究人寿保险的破产模型 ,其中保单到达和索赔发生时刻为相互独立的 Poisson流 ,索赔额服从指数分布 .针对此模型给出了 t时刻之前破产概率的一个上界估计 ,并给出了破产概率的随机模拟计算流程和一个具体例子的数值模拟结果.
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| 关 键 词： | Poisson过程 破产概率 随机模拟 |
| 修稿时间： | 1998-12-17 |
An Estimate and Stochastic Simulation of the Ruin Probability for an Insurance Company |
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| SUN Li-juan,GU Lan.An Estimate and Stochastic Simulation of the Ruin Probability for an Insurance Company[J].Systems Engineering —Theory & Practice,2000,20(7):63-68. |
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| Authors: | SUN Li-juan GU Lan |
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| Institution: | Department of Statistics, Renmin University |
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| Abstract: | In this paper we consider a model for the term insurance of a life insurance company, where the arrival of policies and the occurence of claims follow two independent Poisson flows, the amounts of claims follow the exponential distribution. For this model a upper bound for the ruin probability is given. A computational programme of stochastic simulation for the ruin probability and the numerical result of stochastic simulation for a concrete example are also given. |
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| Keywords: | Poisson process ruin probability stochastic simulation |
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