在利息效力影响下的风险过程

根据B.Sundt提出的在利息效力影响下的风险过程,结合保险公司的现实情况,引入了一个新的概念——标准索赔额,使得所有小于标准索赔额的理赔事件为“小索赔”事件,所有大于标准索赔额的理赔事件为“大索赔”事件.对于不同的保险公司以及同一个保险公司的不同时期,标准索赔额的取值不同,它由保险公司以往的历史数据结合保险公司的规模和资产来决定,反映了保险公司承受索赔的能力.利用标准索赔额,建立了一种新的在利息效力影响下的风险模型,对B.Sundt提出的在利息效力影响下的风险过程进行了推广.对保险公司的风险过程进行研究,并得到了其破产概率的上界、显式表达式以及相关的性质.

Risk process under interest force

Based on risk process under interest force which B. Sundt put forward, according to actual state of insurance companies, a new concept-standard claim is introduced. It makes claim event smaller than standard claim "small claim" event and claim event exceeding standard claim "big claim" event. To different insurance companies and different periods of the same insurance companies, value of standard claim is different. Previous date, scale and assets of insurance companies decide its value. It reflects the capacity for insurance companies to withstand risk. This paper uses standard claim to establish a kind of new risk process under interest force and extends the risk process under interest force which is put forward by B. Sundt. From a new angle, risk process of insurance companies is studied, upper bound, formula and related character can be obtained.