小额索赔情形下现代风险模型的破产概率上界  

Upper bound of ruin probability for modern risk model with small claim condition

作　　者：白建明[1] 尹晓玲[1] 

机构地区：[1]兰州大学管理学院,甘肃兰州730000

出　　处：《系统工程学报》2015年第1期86-93,共8页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(71171103)

摘　　要：比较了经典风险模型(即Cramér-Lundberg模型)与现代风险模型,在小额索赔条件下,利用离散嵌入技术、随机游动方法和鞅方法获得了现代风险模型破产概率的指数型上界,并使用MATLAB数值模拟验证了结论的有效性.本文结果可为现实中保险公司的风险控制与初始保证金界定提供理论依据.This paper compares the classical Cram＆-Lundberg Model with the modem risk model. Under the small claim condition, it derives an exponential upper bound of ultimate ruin probability for the modem risk model by a comprehensive application of embedding technology of stochastic processes, random walks method and martingale approach. A MATLAB numerical simulation is also provided to show the effectiveness of our result. This work provides a theoretical basis for risk controlling as well as initial capital rating for the realistic insurance companies.

关 键 词：现代风险模型 破产概率 指数上界 小额索赔 

分 类 号：F224.7[经济管理—国民经济] O211.9[理学—概率论与数理统计]