险种间的相关性对调节系数的影响  

Effect of Correlation between Insurances on the Adjustment Coefficient

作　　者：王汉芹[1] 金燕生[1] 刘媛媛[1] 

机构地区：[1]燕山大学理学院,河北秦皇岛066004

出　　处：《郑州大学学报（理学版）》2013年第3期24-27,共4页Journal of Zhengzhou University:Natural Science Edition

基　　金：河北省自然科学基金资助项目;编号G2012203136

摘　　要：在两个险种的模型下,针对险种之间的保费到达过程、索赔到达过程与干扰项3者之间的相关性对调节系数的影响进行了研究.并根据相关因素的多少分出4种情形,利用函数之间作差的方法得到4种情形下调节系数的大小关系.通过Lundberg不等式,得出相关性对Lundberg指数的影响.最后得出对于保险公司而言,经营的险种越多,若险种之间相关因素越多就越容易破产.Under two risk models, the effect of correlation between insurance premium arrival process, claim arrival process and distracter on the adjustment coefficient were researched. According to the relat- ed factors, four kinds of situations were obtained. Using the method of comparing functions, the size of the adjustment coefficient under four situations was obtained. Through the Lundberg inequality, the effect of correlation to Lundberg index was obtained. Finally, for insurance company, the more risks it managed and the more risk factors between risks, the easier it would be bankrupt.

关 键 词：风险和模型 POISSON过程 调节系数 LUNDBERG不等式 

分 类 号：O211.9[理学—概率论与数理统计]