多险种双二项比例再保险风险模型的破产概率  

Ruin Probability of Dual Binomial Proportional Reinsurance Risk Model with Multiple Types of Insurance

作　　者：温晓楠[1] 董立伟[2] 冯鑫鑫 王明伟 WEN Xiaonan;DONG Liwei;FENG Xinxin;WANG Mingwei(Department of Basic Courses,Agricultural University of Hebei,Huanghua,Hebei 061100,China;Department of Basic Subjects Teaching,Beijing Jiaotong University Haibin College,Huanghua,Hebei 061100,China)

机构地区：[1]河北农业大学基础课部,河北黄骅061100 [2]北京交通大学海滨学院基础部,河北黄骅061100

出　　处：《宜宾学院学报》2020年第12期55-58,63,共5页Journal of Yibin University

基　　金：河北省高等学校科学技术研究项目青年基金项目“保险公司几类再保险风险模型的研究与应用”(QN2019216)。

摘　　要：基于膨胀和利率、随机干扰及多险种影响下的双二项风险模型,考虑到保险公司的实际情况,通过比例再保险降低其破产概率.对建立的带干扰的多险种的二项比例再保险风险模型,首先讨论其盈余过程的性质与相关数字特征,然后通过分析盈余过程的性质,利用鞅方法得到破产概率公式和破产概率上界的Lundberg不等式,最后根据拉格朗日数乘法分析得到了最优自留比例系数.Based on the double binomial risk model under the influence of inflation,interest rate,random disturbance and multiple insurance types,considering the actual situation of insurance companies,the probability of bankruptcy through proportional reinsurance was reduced.A binomial proportional reinsurance risk model of multiple insurance types with disturbance was established.Firstly,the nature and relevant digital characteristics of the model’s surplus process were discussed.Secondly,the risk model of surplus process was analyzed.The formula of ruin probability and Lundberg inequality of upper bound of ruin probability by martingale method were obtained.Finally,the optimal retention proportion coefficient by Lagrange number multiplication analysis was acquired.

关 键 词：多险种 二项风险模型 随机干扰 再保险比例系数 

分 类 号：O211[理学—概率论与数理统计]