| 投资连接保险风险模型的构建及其破产概率的鞅分析 |
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| 引用本文： | 张建业,王永茂,秦桂霞.投资连接保险风险模型的构建及其破产概率的鞅分析[J].燕山大学学报,2008,32(6). |
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| 作者姓名： | 张建业 王永茂 秦桂霞 |
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| 作者单位： | 燕山大学,理学院,河北,秦皇岛,066004 |
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| 摘 要： | 根据投资连接保险的特点及传统风险模型,建立了投资连接保险业务的盈余过程模型.所建模型将保险资金运用分为可带来稳定收益的投资组合和风险相对较大,收益不确定的投资组合,并且前者采用常数利率而后者采用带漂移参数的布朗运动来分别描述两个组合的收益.另一方面,该模犁对出险理赔和资金正常赎回两种情况进行了分别考虑.对于此模型应用鞅方法得到了其破产概率的一般表达式和Lundberg不等式.
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| 关 键 词： | 投资连接保险 盈余过程 鞅 投资组合收益率 破产概率 |
Risk model construction of unit-linked insurance and its ruin probability by martingale analysis |
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| ZHANG Jian-ye,WANG Yong-mao,QIN Gui-xia.Risk model construction of unit-linked insurance and its ruin probability by martingale analysis[J].Journal of Yanshan University,2008,32(6). |
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| Authors: | ZHANG Jian-ye WANG Yong-mao QIN Gui-xia |
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| Institution: | ZHANG Jian-ye 1,WANG Yong-mao 1,QIN Gui-xia 1 (1. College of Sciences,Yanshan University,Qinhuangdao,Hebei 066004,China) |
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| Abstract: | Considering characteristics of unit-linked insurance and traditional risk model, surplus process model of unit-linked insurance was constructed in the paper. The model constructed divided capital utilization into two investment portfolios, one brings stable incomes and another has relatively big risk and its income has the uncertainty. Constant interest rate for the former and Brow-nian motion with drifting parameter for the latter were adopted to describe respectively their incomes. At the same time, the c... |
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| Keywords: | unit-linked insurance surplus process martingale investment portfolio interest rate ruin probability |
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