带投资组合和超额赔款的再保险双Cox风险模型  

The Double Cox Risk Model of Reinsurance with Portfolio and Excess of Loss

作　　者：牛银菊[1] 罗永丽[2] 夏亚峰[2] 

机构地区：[1]东莞理工学院计算机学院,广东东莞523808 [2]兰州理工大学理学院,甘肃兰州730050

出　　处：《江西师范大学学报（自然科学版）》2014年第5期539-542,共4页Journal of Jiangxi Normal University(Natural Science Edition)

基　　金：广东省科技计划(2012B010100044);东莞市高等院校科技计划(2012108102031)资助项目

摘　　要：对于保单到达过程与索赔过程均为Cox过程的情况,考虑到保险公司为了规避风险进行投资组合和再保险,将经典风险模型推广,建立了一类再保险双Cox风险模型,运用鞅论方法得到了此模型Lundberg指数上界和破产概率的上界,并给出了最终破产概率的解析表达式.For the insurance company policy arrival process and claims process are Cox process,considering the insurance company investment combination and reinsurance to evade bankruptcy,the classical risk model is generalized and a double Cox risk model of reinsurance with portfolio and excess of loss is established. Using the knowledge of martingale theory,the upper bounds of ruin probability,Lundberg exponent and the ultimate ruin probability of this model are studied.

关 键 词：风险模型 COX过程 LUNDBERG指数 鞅 破产概率 

分 类 号：O211.67[理学—概率论与数理统计]