带干扰的常利率超额再保险Poisson风险模型的最优自留额  

The Optimal Retention of a Poisson Risk Model on Excess Reinsurance in Constant Interest Rate with Disturbance

作　　者：孙映霞[1] 刘庆平[1] 

机构地区：[1]中南大学数学科学与计算技术学院,长沙410075

出　　处：《数学理论与应用》2009年第4期20-24,共5页Mathematical Theory and Applications

摘　　要：本文推广了Centeno[1],何树红[2],张茂军[3]的模型,研究带干扰的常利率超额再保险风险模型。首先用鞅方法求得其调节函数,进而证明Lundberg不等式,给出有限时间破产概率上界,并讨论最优自留额的确定。In this paper, we consider a general model on excess reinsurance with constant interest rate and disturbance of Brownian motion. The adjustment equation of the model is derived by a similar argument to [ 3 ], upper bounds for the finite rime ruin probability and ultimate ruin probability are also obtained,in addition, a optimal retention,in the sense of minimizing the upper bounds of the finite time ruin probability, is obtained. The underline model can be regarded as a genetalization of the models in [1],[2],[3].

关 键 词：鞅 超额再保险 破产概率 标准Brownian运动 

分 类 号：F224[经济管理—国民经济] F840