保险资金投资于风险资产的破产概率  

Ruin probability for risky investment of insurance capital

作　　者：江涛[1] 

机构地区：[1]浙江工商大学金融学院,浙江杭州310018

出　　处：《系统工程学报》2008年第2期148-153,共6页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(70471071)

摘　　要：研究了保险资金投资于风险资产的破产概率问题.在索赔来到过程为更新过程,索赔额分布为 Pareto型的场合下,利用 Black-scholes 公式的结果改写了盈余过程的表达式,并得到了有限时间与无穷时间破产概率的渐近表达公式,从而获得了破产概率与更新函数之间的联系.不仅如此,还得到了破产概率与波动因子之间的联系.所得结果拓展了 Kluppelberg 等和 Tang 等人的结果.This paper researches the ruin probability of investing in risky asset by insurance capital. Under the assumptions that the claim-arrival process follows renewal process, and the claimsize is of Pareto distribution, by using Black-Scholes formula to re-express surplus process, an asymptotic formula of finite and infinite time ruin probability is obtained. Relationship between ruin probability and renewal function is derived. In addition, the coefficient is also obtained. The results extend the connection between ruin probability and volatility corresponding conclusions of Kluppelberg＇ s, andTang＇s.

关 键 词：有限时间破产概率 Black—Scholes公式 Pareto索赔额 

分 类 号：O211.4[理学—概率论与数理统计]