具有退保事件的多险种复合Poisson风险模型  

A compound Poisson risk model of multi-insurance with consideration of surrender events

作　　者：崔宗宝[1] 金燕生[1] 王汉芹[1] 

机构地区：[1]燕山大学理学院,河北秦皇岛066004

出　　处：《辽宁工程技术大学学报（自然科学版）》2013年第3期425-428,共4页Journal of Liaoning Technical University (Natural Science)

基　　金：河北省自然科学基金资助项目(G201220313)

摘　　要：针对退保事件的发生对风险模型破产概率的影响.建立综合利率下考虑退保事件发生的含干扰项的多险种风险模型.分析研究了模型盈余过程及调节系数R的性质,并求得了该模型的破产概率上界,为风险投资者对投资项目破产概率的估计和预测具有一定的指导意义.In terms of the impact of surrender events on the ruin probability in a risk model,this paper has established a new multi-insurance risk model with the consideration of the composite interest rate,the surrender events and the disturbance terms.The paper has investigated the nature of surplus process and the nature of the adjustment coefficient of R,and obtained the upper bound of ruin probability.The study results provide some guidance for risk investors to estimate and predict the ruin probability of their investment projects.

关 键 词：双险种 风险模型 综合利率 退保事件 相互独立 调节系数 破产概率 干扰项 

分 类 号：O157.5[理学—数学]