综合利率下考虑退保的复合Poisson过程风险模型  

A compound poisson risk model involving the surrender under the influence of composite rate

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,秦皇岛066004

出　　处：《黑龙江大学自然科学学报》2013年第5期595-598,604,共5页Journal of Natural Science of Heilongjiang University

基　　金：河北省自然科学基金资助项目(G2012203136)

摘　　要：基于退保事件在保险公司的发生,对经典的风险模型进行推广,研究在资金利率和通货膨胀率综合影响下,考虑到保单的签订、退保事件及理赔事件的发生是一随机变量,建立考虑退保事件发生的含干扰项的新的风险模型。模型中假设保费的收取、个体退保额及理赔额均为相互独立的随机变量,讨论该模型盈余过程的性质,并得到该模型的破产概率和Lundberg不等式。Based on the refund event of insurance company, classical risk model is extended, and a new risk model under the condition of the funds rate and the inflation rate are discussed. Consider the risk model influence by poli- cy of signing, occur of refund events and claim events are random variables, a new risk model with the surrender e- vents and the disturbance terms is established. On the assumption that the premium income, the individual retire- ment insurance and the claim amount are mutually independent random variables. The nature of surplus process in the risk model is studied, ＂and the ruin probability and the Lundberg inequality of this risk model are obtained.

关 键 词：退保事件 盈余过程 综合利率 相互独立 干扰项 

分 类 号：O157.5[理学—数学]