稀疏过程下保费与理赔相关的风险模型的破产概率  

Ruin probability for a risk model with dependence between premium and claim under the thinning process

作　　者：黄玉娟[1] 于文广[2] 

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

出　　处：《山东大学学报（理学版）》2011年第7期56-59,77,共5页Journal of Shandong University(Natural Science)

基　　金：教育部人文社会科学研究基金资助项目(10YJC630092;09YJC910004);山东省自然科学基金资助项目(ZR2010GL013);山东省高校人文社会科学研究计划资助项目(J10WF84);山东交通学院自然科学基金资助项目(Z201031)

摘　　要：考虑了一类相依结构的风险模型,其中索赔产生时依概率ρ的可能性同时产生一次续保,即续保过程是索赔的ρ-稀疏过程。同时还研究了资金利率、通货膨胀率和干扰问题。通过鞅分析方法,得到了最终破产概率的一般表达式和破产概率的一个上界估计,讨论了相应模型的调整系数方程和调节系数的上下界。A dependence risk model is considered, where the claim may produce a repremium with probability ρ, i.e. the repremium process is the ρ-thinning process of the claim process. The capital interest rate, inflatable rate and diffusion are also investigated. Then by the method of Martingle analysis, the estimation of upper bond and general formula of the ultimate ruin probability in this new model are obtained. In addition the adjustment coefficient equation is established and the upper bond and lower bond of the adjustment coefficients are estimated.

关 键 词：破产概率 调节系数 稀疏过程 鞅 扰动 

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