常数投资风险资产策略下保险公司的破产概率  

Ruin probability for constant risky investment by insurance companies

作　　者：陈昱[1] 吴进[1] 

机构地区：[1]中国科学技术大学统计与金融系,安徽合肥230026

出　　处：《中国科学技术大学学报》2011年第6期519-524,共6页JUSTC

基　　金：国家自然科学基金(10801124);中国科学院知识创新工程(KJCX3-SYW-S02)资助

摘　　要：研究了保险公司的无限时间破产概率,在Cramér-Lundberg经典风险模型的基础上,考虑了公司将其一部分盈余资产投资到风险市场,风险资产价值满足几何布朗运动过程;盈余资产的另一部分投资于常数利息力为i无风险资产中.在常数投资风险资产策略下,得到了和经典模型下相似的破产概率的上界估计和调节系数,并且其上界均为指数型上界.调节系数比Lundberg系数大,即破产概率的上界比经典风险模型要小.The infinite time ruin probability of an insurance company was studied.An adaptation was advanced on the basis of the classical Cramér-Lundberg risk model,in which the company was allowed to invest in some stock market modeled by geometric Brownian motion and the remaining reserve was in the bond with interest force i.In this model some exact similar results to the classic model,ruin probability and adjustment coefficient,were obtained.This adjustment coefficient is larger than Lundberg adjustment coefficient,thus reducing the upper bound of ruin probability compared to the classical model.

关 键 词：破产概率 几何布朗运动 调节系数 

分 类 号：O211.4[理学—概率论与数理统计] O211.6[理学—数学]