干扰条件下变破产下限多元风险模型的破产概率  

Ruin probability in an interfered multi-type risk model of a variable ruin limit

作　　者：于文广[1] 黄玉娟[2] 

机构地区：[1]山东经济学院统计与数学学院,山东济南250014 [2]山东交通学院数理系,山东济南250023

出　　处：《山东大学学报（理学版）》2011年第3期58-62,68,共6页Journal of Shandong University(Natural Science)

基　　金：教育部人文社会科学研究项目(09YJC910004;10YJC630092;08JA910003);山东省自然科学基金项目(ZR2010GL013);山东省高等学校人文社会科学研究项目(J10WF84);山东省统计科研重点课题基金项目(KT1060;KT1025);山东交通学院院科研项目(Z201031)

摘　　要：近年来许多文献在研究风险模型的破产概率时假设破产下限为0,而在实际保险实务中,当保险公司的盈余过程低于某一限度时,保险公司就面临着破产。针对该问题,本文研究了干扰条件下多元风险模型在假定变破产下限的破产概率,得出了破产概率所满足的不等式和具体表达式,并且在破产下限为某些特征函数时,讨论了调节系数方程和调节系数的上下界。In recent years,the limit of ruin has been set as 0 in much literature when studying ruin probability in risk models,while,in practical insurance businesses,the insurance company confronts the ruin issue when its surplus process is lower than a certain limit.In view of this problem,the probabilities of ruin in an interfered multi-type risk model are investigated on the assumption that the limit of ruin is variabie and obtain the inequality of the probability of ruin and accurate expression of the ruin probability.In addition adjustment coefficient equations are established and the upper bond and lower bond of the adjustment coefficient are estimated on the assumption that the limit of ruin is especial functions.

关 键 词：破产下限 破产概率 干扰 鞅 调节系数 停时 

分 类 号：F840[经济管理—保险] O211.6[理学—概率论与数理统计]