带利力的多险种风险模型

经典风险模型没有考虑利力因素而且假设各风险之间具有独立性,这种假设常常与实际不能相符.针对该问题,本文构造了一种带利力的且具有相依关系的多种险种同时并存的风险模型;通过应用Markov链的性质,获得了这种情况下终极破产概率应满足的积分方程;最后以索赔额服从指数分布为例对结果进行论证.

Risk Model of a Multitype-insurance with Constant Interest Force

In the classical risk model,it is often assumed that each type of risk is independent of each other and there is no interest force,thus the model usually doesn't match with the facts.To solve these problems,the present paper proposes a risk model with constant interest force,in which dependent classes of insurance business coexist.Through the application of the theory of Markov chain,the integral equation of infinite ruin probability on such occasion is concluded.Furthermore,the conclusion is illustrated by an example when the claim sizes are exponentially distributed.