| 跳跃-扩散风险下保险公司破产概率研究 |
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| 引用本文： | 孙宗岐.跳跃-扩散风险下保险公司破产概率研究[J].渝西学院学报(自然科学版),2012(2):21-24. |
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| 作者姓名： | 孙宗岐 |
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| 作者单位： | 西安思源学院数理教研室,陕西西安710038 |
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| 摘 要： | 将保险公司盈余过程推广为跳-扩散过程，同时将资本市场利率由经典的CIR模型推广为跳-扩散模型，利用二维Ito公式及鞅方法推导保险公司的破产概率，得到了破产概率满足的一个二阶偏微分方程．
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| 关 键 词： | 破产概率 赢余过程 随机利率 跳一扩散模型 鞅 |
Inferring the ruin probability under jump- diffusion model for insurance company |
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| Institution: | SUN Zong - qi ( Department of Mathematics, Xi＇ an Siyuan University, Xi＇ an Shanxi 710038, China) |
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| Abstract: | This paper deduces the reserve process to a jump diffusion process and the interest rate to a jump diffusion model form the classics CIR model. Using the spread Ito formula and martingale, the ruin probability for insurance company was studied. At last a secondorder partial differential equation which satisfied by the ruin probability was obtained. |
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| Keywords: | ruin probability reserve process stochastic interest rate jump - diffusion model martingale |
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