再保险对带干扰Poisson风险模型破产时间的影响  

The Influence of Reinsurance on Bankruptcy Time of Poisson Risk Model with Diffusion

作　　者：马驰[1] 张洪涛[1] 

机构地区：[1]安徽理工大学理学院,安徽淮南232001

出　　处：《安徽理工大学学报（自然科学版）》2008年第2期78-80,共3页Journal of Anhui University of Science and Technology:Natural Science

基　　金：安徽省高校青年教师科研资助计划资助项目(2008jq1036);安徽省教育厅人文社会科学研究资助项目(kj2008B190);安徽理工大学青年基金资助项目(QN200625);安徽理工大学硕博基金资助项目

摘　　要：联系现实中保险公司的经营行为,建立一类理赔额受限的带干扰Po isson风险模型,运用鞅论的方法,分析再保险方式对该风险模型资金盈余首次到达0时刻的影响,得到它的矩母函数和数学期望,并通过与不采用再保险方式的带Po isson风险模型资金盈余首次到达0的期望时间的比较,发现再保险方式是分散保险公司经营风险的非常有效的一种途径。According to business practice of insurance companies, a kind of Poisson risk model with diffusion with claim limitation was established. By martingale method the influence of reinsurance ways on the time of company＇s surplus funds firstly reaching zero was analyzed. Its generation function and mathematical expectation were obtained. By comparison with the time of company＇s surplus funds firstly reaching zero for the risk model without reinsurance it was found that reinsurance is a very effective way for insurance companies to disperse risk.

关 键 词：鞅 再保险 风险模型 破产时间 停时 

分 类 号：O211.9[理学—概率论与数理统计]