稀疏过程下退保相依多险种风险模型的破产概率  

Ruin Probability of Surrender Dependent Multi-Type Risk Model in Sparse Process

作　　者：魏静[1] 葛世刚[1] 刘海生[1] 

机构地区：[1]华北科技学院基础部,河北三河065201

出　　处：《中山大学学报（自然科学版）》2015年第4期72-74,共3页Acta Scientiarum Naturalium Universitatis Sunyatseni

基　　金：河北省高等学校科学研究计划资助项目(Z2014032);华北科技学院重点学科资助基金资助项目(HKXJZD201402);中央高校基本科研业务费资助项目(3142013025;3142013023;3142014127)

摘　　要：随着保险业务种类的多样化,用单一险种来描述风险过程就显得不够,因此建立多险种的风险模型就尤为必要。考虑到保费收取的随机性和退保风险的可能性,建立了保费收取和理赔次数均为泊松过程、退保为基于保费收取的q-稀疏过程的多险种随机风险模型,通过分析盈余过程的性质,得到最终破产概率的表达式和破产概率上界的Lundberg不等式。With the diversity of insurance business,the process of risk model by describing with single risk has limitation. So multi-type insurance risk model is particularly necessary. Considering the possibility of premium randomness and surrender risk,a multi-type random risk model is established with the times of premium and claim being Poisson processes,and the surrender being a random q-sparse process of the premium process. By analyzing the properties of the surplus process,it is obtained the expression of ultimate ruin probability and the Lundberg inequality for ruin probability upper bound.

关 键 词：多险种 退保 POISSON过程 稀疏过程 破产概率 

分 类 号：O211.6[理学—概率论与数理统计] F840[理学—数学]