考虑退保一类复合Poisson过程的风险模型

考虑到保险公司退保事件的发生,就保费收取、个体退保额及理赔额均为相互独立的随机变量情形建立了一种新的风险分析模型.模型中保单到达、退保及理赔发生均为Poisson流.对此模型的基本性质与破产概率及上界作了相应的解析分析,对与破产概率控制至关重要的调节系数与风险模型基本参数的关系进行了数值模拟,所揭示的破产概率的一些变动特征为保险公司预防和控制破产风险提供了有益的启示.

A Class of Risk Models of Compound Poisson Process with Refund

By considering the refund event of insurance company,a new risk model was introduced with the different Poisson flows of the arrival of the insurance policy,refund and claim in which the premium,individual refund size and claim size are i.i.d variables.Then we discussed the basic property,ruin probability and its upper bound of the model mathematically.The relatives between adjust coefficients and model parameters were also analyzed numerically;the adjust coefficient is a key to control the ruin probability...