关于多险种初始资本分配策略的研究  

Research on The Initial Capital Allocation Strategy of Multiple Insurance Varieties

作　　者：曲忠宪 武文华 王春红 Qu Zhongxian;Wu Wenhua;Wang Chunhong(College of Ocean Information Engineering,Hainan Tropical Ocean University,Sanya Hainan 57202)

机构地区：[1]海南热带海洋学院海洋信息工程学院,海南三亚572022

出　　处：《东北电力大学学报》2018年第2期93-97,共5页Journal of Northeast Electric Power University

摘　　要：公司有m个险种,每个险种独立经营,自负盈亏.u为初始资本,险种来到的记数过程及索赔额变量之间相互独立,令u=∑mi=1ui,ui为分配到第i个险种的初始资金.提出了分配初始资本u的几个优化策略,使关心的险种最终破产概率都不超过确定的小正数α.The company has m varieties of insurance,each of which is independent of its own profit and loss. uis the initial capital,the counting process of these insurance varieties and the claim variables are independentof each other. Let u =∑ mi = 1ui,uiis the initial capital allocated to the ith insurance variety. This paper providesseveral optimization strategies for allocating initial capital,so that the ruin probability of the concerned insur-ance varieties is not bigger than α.

关 键 词：破产概率 调节系数 矩母函数 分配策略 

分 类 号：O212[理学—概率论与数理统计]