考虑预防策略的带干扰的比例再保险复合Poisson-Geometric风险模型  

Proportional Reinsurance Compound Poisson-GeometricRisk Model Based on Prevention Strategy

作　　者：陈哲[1] 王传玉[1] 周瑾 CHEN Zhe;WANG Chuanyu;ZHOU Jin(School of Mathematics,Physics and Finance,Anhui Polytechnic University,Wuhu 241000,China)

机构地区：[1]安徽工程大学数理与金融学院,安徽芜湖241000

出　　处：《安徽工程大学学报》2021年第6期83-90,共8页Journal of Anhui Polytechnic University

基　　金：国家社科基金资助项目(21CTJ005);安徽省高校自然科学重点研究基金资助项目(KJ2018A0120);安徽工程大学校级科研重点基金资助项目(XJKY08201901)。

摘　　要：在考虑预防策略的情形下建立了一个带干扰的比例再保险复合Poisson-Geometric风险模型。给出了该模型在索赔服从指数分布下的生存概率和调节系数的精确表达式,并得到了使生存概率达到最大的最优预防量。通过数值模拟研究再保险策略和偏离参数对生存概率的影响,并给出相关解释。This paper establishes a proportional reinsurance compound Poisson-Geometric risk model with interference considering the prevention strategy,The exact expressions for the survival probability and the conditioning factor for the model with claims following an exponential distribution are given,and the optimal prevention quantity to maximize the survival probability is obtained.The influence of reinsurance strategy and deviation parameters on ruin probability is studied by numerical simulation,and relevant explanations are presented.

关 键 词：最优预防策略 复合POISSON-GEOMETRIC过程 再保险 鞅方法 

分 类 号：F840.6[经济管理—保险]