破产概率下最小初始资本与费率间的关系
发布时间：2018-11-01 16:22
【摘要】：本文主要研究破产概率下,最小初始资本与费率间的关系。首先,介绍了破产概率的产生背景和发展现状,说明研究该问题的现实意义及本文的主要思想和大致思路;其次,对C-L经典破产概率模型中的基本概念、性质及重要结论进行简单的介绍,为下面的研究奠定理论基础;再次,对所研究问题中的两大模块——最小初始资本和费率分别进行探究,证明最小初始资本的存在性,以及在费率临界点处初始资本的情况,且在研究过程中给出一些重要结论的证明;最后,在综述了前人理论成果的基础上,通过对历史数据的研究得到索赔额的分布,并利用数值模拟的方法得出最小初始资本和费率间的关系,并应用到实际问题中。
[Abstract]:This paper mainly studies the relationship between minimum initial capital and rate under ruin probability. First of all, it introduces the background and development of bankruptcy probability, explains the practical significance of studying the problem and the main ideas and general ideas of this paper. Secondly, the basic concepts, properties and important conclusions of C-L classical ruin probability model are briefly introduced, which lays a theoretical foundation for the following research; Thirdly, this paper explores the two modules of the research, the minimum initial capital and the rate, to prove the existence of the minimum initial capital and the initial capital at the critical point of the rate. And some important conclusions are proved in the course of the research. Finally, on the basis of summarizing the previous theoretical achievements, the distribution of claim amount is obtained through the study of historical data, and the relationship between minimum initial capital and rate is obtained by numerical simulation, and applied to practical problems.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F840;F224
本文编号：2304455
[Abstract]:This paper mainly studies the relationship between minimum initial capital and rate under ruin probability. First of all, it introduces the background and development of bankruptcy probability, explains the practical significance of studying the problem and the main ideas and general ideas of this paper. Secondly, the basic concepts, properties and important conclusions of C-L classical ruin probability model are briefly introduced, which lays a theoretical foundation for the following research; Thirdly, this paper explores the two modules of the research, the minimum initial capital and the rate, to prove the existence of the minimum initial capital and the initial capital at the critical point of the rate. And some important conclusions are proved in the course of the research. Finally, on the basis of summarizing the previous theoretical achievements, the distribution of claim amount is obtained through the study of historical data, and the relationship between minimum initial capital and rate is obtained by numerical simulation, and applied to practical problems.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F840;F224
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