复合二项模型破产严重程度的一些度量  

On Some Measures of the Severity of Ruin in the Compound Binomial Model

作　　者：赵锦艳[1] 刘国欣[2] 

机构地区：[1]中南大学数学科学与计算技术学院,湖南长沙410075 [2]河北工业大学理学院,天津300401

出　　处：《河北工业大学学报》2010年第5期10-16,共7页Journal of Hebei University of Technology

基　　金：国家自然科学基金(10671052)

摘　　要：众所周知,出现赤字并不一定导致保险公司停止运营当前的经营项目.由赤字恢复的可能性既依赖于破产时的状态,又依赖于保险公司负值经营期间所能承担的索赔额大小.破产严重程度的度量是保险公司出现赤字后决定是否继续运营的理性依据.这里主要研究了复合二项模型破产的最大严重性、恢复前的损失、总的赤字时间、总的损失等破产严重程度的度量.最后,索赔额服从几何分布作为特例,给出这些度量的明确表达式.As we know,the ruin doesn＇t defnitely lead to the decision to stop activities for insurers.The possibility of re-covery depends on the state of the company at ruin time,but also on the claims this company could endure after that time and time spent with a negative surplus.These measures of the severity of ruin,as an rational basis for the company to make the decision to stop activities or not,need to be thought over.In this paper,the maximal severity,the cost of recovery,the total duration,and the total cost of negative surplus in the compound binomial model are studied.Finally,an example with geometrically distributed claims is considered and all the measures of the severity of ruin,mentioned above,are cal-culated explicitly in this case.

关 键 词：复合二项模型 破产最大严重性 恢复前的损失 总赤字时间 总损失 

分 类 号：O211.6[理学—概率论与数理统计] O211.9[理学—数学]