带干扰的多险种比例再保险风险模型  

Risk model of multiple line proportion reinsurance with interference

作　　者：王永茂[1] 龙梅[1] 贠小青[2] 王丹[1] 

机构地区：[1]燕山大学理学院,河北秦皇岛066004 [2]燕山大学里仁学院,河北秦皇岛066004

出　　处：《辽宁工程技术大学学报（自然科学版）》2014年第10期1437-1440,共4页Journal of Liaoning Technical University (Natural Science)

基　　金：秦皇岛市科学技术研究与发展计划基金资助项目(201302A221)

摘　　要：为降低保险公司的破产概率,采用条件期望和随机过程理论,在利率,通货膨胀率,变破产下限和多险种的干扰下,考虑了一类带稀疏过程和比例再保险的风险模型,推导出模型的最终破产概率表达式及其上界.对下限函数给出了特定情况下的破产概率.研究结果表明:破产概率随调节系数、利率、比例系数的增大而减小,随通货膨胀率、破产下限的增大而增大,而增加比例系数会降低期望盈余,所以保险公司只能在盈余和破产之间找到合适自己的平衡点.In order to reduce the bankruptcy probability of insurance companies, this paper studies about a risk model with the interference of proportional reinsurance and the thinning process, considering the interest rate, the rate of inflation, the lower limit of bankruptcy in variation and multiple line, as well as the theoretical knowledge of conditional expectation and stochastic processes. Meanwhile, this study works out the expression of bankruptcy probability, the Lundberg upper bound of the new model and gives the bankruptcy probability under the specific limit of bankruptcy in variation. The conclusions of the study show that the bankruptcy probability will decrease with the increase of adjustment coefficient, interest rates and the scale factor, and it will increase with the increase of the inflation rate and the lower limit of bankruptcy. At the same time, increasing the scale factor will reduce the expected surplus. Therefore, the insurance companies can find the right balance between their earnings and bankruptcy.

关 键 词：稀疏过程 破产概率 调节系数 比例再保险 变破产下限 

分 类 号：O211.6[理学—概率论与数理统计]