经典更新风险模型中带有随机利率的破产概率  

Ruin probability for the classical renewal model with stochastic interest rate

作　　者：赵武[1] 王定成[2,3,1] 曾勇[1] 

机构地区：[1]电子科技大学管理学院,四川成都610054 [2]澳大利亚国立大学金融数学中心 [3]电子科技大学应用数学学院,四川成都610054

出　　处：《系统工程学报》2010年第5期592-596,602,共6页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(70671018)

摘　　要：研究了保险公司的有限时间破产概率.在利率为不确定的情形下,利率用随机过程描述,对保险公司的盈余用经典更新风险模型建模.假设索赔额具有正则变化尾的分布,不同于传统的方法,利用随机权和的结果得到了有限时间破产概率的尾等价式.为精确估计破产概率提供了有效的途径,推广了经典的结果.This paper investigates the finite time ruin probability of insurance company.Under the condition that the interest rate is uncertain,which is described by stochastic process,the surplus of insurance company is modeled by the classical renewal risk model.Provided that the claims have regular varying-tailed distributions,the tail equivalence is obtained by using the method of randomly weighted sums which is different from traditional ways.The paper provides an effective approach to estimate the ruin probability and generalizes the classical results.

关 键 词：经典更新风险模型 索赔额 随机利率 正则变化尾 破产概率 

分 类 号：F840[经济管理—保险]