离散随机序在复合二项破产模型中的应用  

THE APPLICATION OF DISCRETE STOCHASTIC ORDER TO COMPOUND BINOMIAL RUIN MODEL

作　　者：李明明[1] 成世学[1] 

机构地区：[1]中国人民大学信息学院,北京100872

出　　处：《经济数学》2003年第3期1-11,共11页Journal of Quantitative Economics

基　　金：国家自然科学基金资助项目 ( No.199710 95 )

摘　　要：本文的内容由三部分组成 .首先 ,在简述复合二项破产模型近期已得的相关成果的基础上 ,给出了最终破产概率的复合几何分布表示 ;接着 ,在概述了离散随机优序与停止损失序的主要结果后 ,首次提出了幂序的概念 ;最后 ,借助上述离散随机序 。This paper consists of three parts. First, after reviewing some related results deduced recently for the compound binomial ruin model, it is shown that the ultimate ruin probability can be expressed as a compound geometric distribution. Next, the main results of discrete stochastic dominance order and stop loss order are sketched. Specially, a new stochastic order, power order, is first introduced. Finally, in virtue of all stochastic orders mentioned above, we explore how the individual claim affects the ruin probability and adjustment coefficient in compound binomial ruin model.

关 键 词：离散随机序 复合二项破产模型 调节系数 破产概率 幂序 保险数学 

分 类 号：F224.7[经济管理—国民经济] O211[理学—概率论与数理统计]