跳跃-扩散风险下保险公司破产概率研究  

Inferring the ruin probability under jump-diffusion model for insurance company

作　　者：孙宗岐[1] 

机构地区：[1]西安思源学院数理教研室,陕西西安710038

出　　处：《重庆文理学院学报（自然科学版）》2012年第2期21-24,共4页Journal of Chongqing University of Arts and Sciences

摘　　要：将保险公司盈余过程推广为跳-扩散过程,同时将资本市场利率由经典的CIR模型推广为跳-扩散模型,利用二维Ito公式及鞅方法推导保险公司的破产概率,得到了破产概率满足的一个二阶偏微分方程.This paper deduces the reserve process to a jump diffusion process and the interest rate to a jump diffusion model form the classics CIR model. Using the spread Ito formula and martingale, the ruin probability for insurance company was studied. At last a secondorder partial differential equation which satisfied by the ruin probability was obtained.

关 键 词：破产概率 赢余过程 随机利率 跳一扩散模型 鞅 

分 类 号：O211.63[理学—概率论与数理统计]