考虑随机利率因素的双险种Poisson-Geometric过程模型的破产概率研究  

The Research of Ruin Probability for a Poisson-Geometric Process Model of Double Line under Stochastic Interest Rates

作　　者：刘美霞[1] 

机构地区：[1]暨南大学经济学院统计学系,广州510632

出　　处：《科学技术与工程》2012年第18期4321-4325,共5页Science Technology and Engineering

摘　　要：假设了保险公司对初始准备金用两种方式进行投资,一种是无风险投资,收益率为确定的值,另一种是有风险的投资,其收益用含布朗运动的表达式描述。其次,考虑了随机保费的情况,用复合Poisson模型描述总的保费收入,并假设保费即刻进入金融市场,并获得利率不确定的收益。最后,考虑了两险种的理赔模型,研究了理赔总额服从复合复合Poisson-Geometric过程的情况,最终通过鞅的方法得到了破产概率的表达式。The insurance company on the basis of the reserve for investment in two ways had been assumed.One is no risk investment,return of certain value,and the other is the risky investment,their earnings with contain the Brownian motion expression description.Second,considering the random premium circumstance,using compound Poisson model the total premium income is described,and assumed that the premium instantly in financial markets,and obtain the interest rate not sure benefits.Finally,the two danger is considered to manage compensate model and the total amount of composite compound Poisson claim to the situation of the process-Geometric,ultimately through martingale＇s method for the expression for the ruin probability.

关 键 词：破产概率 复合POISSON-GEOMETRIC过程 随机利率 鞅 

分 类 号：O211.9[理学—概率论与数理统计]