带利力的多险种风险模型  

Risk Model of a Multitype-insurance with Constant Interest Force

作　　者：张志强[1] 陈洁[1] 

机构地区：[1]厦门大学数学科学学院,福建厦门361005

出　　处：《厦门大学学报（自然科学版）》2006年第6期763-766,共4页Journal of Xiamen University：Natural Science

基　　金：国家自然科学基金(10171051);国家社会科学基金(03BTJ014);福建省自然科学基金(2006J0226)资助

摘　　要：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.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 exampie when the claim sizes are exponentially distributed.

关 键 词：破产概率 利力 积分方程 

分 类 号：O175.5[理学—数学]