泊松风险模型下的保险公司破产概率研究  

Researches on Ruin Probability under Poisson Risk Model for Insurance Company

作　　者：贾丹琴 刘宣会[1] 张夏洁 

机构地区：[1]西安工程大学理学院,西安710048

出　　处：《世界科技研究与发展》2015年第6期772-775,共4页World Sci-Tech R&D

基　　金：陕西省教育厅科研计划项目(2013JK0594)资助

摘　　要：用跳跃-扩散过程来描述保险公司的盈余过程以及资本市场利率,即考虑保险公司的盈余风险模型是由布朗运动和泊松过程共同驱动的。利用Ito公式、鞅方法以及随机微积分方法对保险公司的破产概率进行推导,得到了破产概率以及条件破产概率所满足的偏微分方程。A jump-diffusion process is used to descl：ibe insurance company＇s earnings process and the interest rate. In other words,It is considered that the earnings risk model^of insurance company is driven bY the Brown motion and the Poisson process. The Itoformula, martingale methods, and stochastic calculus techniques are used to study the ruin probability for insurance company. At last , the partial differential equation which satisfied by the ruin probability and the conditional ruin probability are obtained.

关 键 词：鞅 随机微分方程 盈余过程 破产概率 

分 类 号：F842.3[经济管理—保险] F271