再保险对时间盈余多元风险模型的影响  

Affection of reinsurance on the ruin probability in the multi-type risk model based on time surplus

作　　者：李爱芹[1] 黄玉娟[1] 

机构地区：[1]山东交通学院数理系,山东济南250023

出　　处：《合肥工业大学学报（自然科学版）》2009年第6期927-930,共4页Journal of Hefei University of Technology：Natural Science

基　　金：教育部人文社会科学研究资助项目(08JA910003);山东省统计科研重点课题资助项目(KT0846)

摘　　要：文章提出了一种研究风险模型的新思路,构造了一个再保险条件下多险种风险模型的时间盈余过程,从一个新的方面给出了破产概率的定义;研究了时间盈余多险种风险模型中再保险对调节系数的影响;讨论了理赔分布为均匀和指数分布时,调节系数与自留水平的关系,并得到相应的表达式。The paper presents a new thinking of studying risk models. A time surplus process based on the multi-type risk model with reinsurance is constructed, and a definition of the ruin probability is given from a new angle. The affection of reinsurance on the adjustment coefficient of the multi-type risk model based on time surplus is studied, the relationship between the adjustment coefficient and the retention level is discussed when the claim distribution is even or exponential, and some corresponding formulas are obtained.

关 键 词：时间盈余过程 再保险 调节系数 破产概率 

分 类 号：F224.7[经济管理—国民经济] O211.6[理学—概率论与数理统计]