几类双险种连续时间风险模型的破产概率

发布时间：2018-03-03 01:25

本文选题：双险种风险模型　切入点：连续时间　出处：《浙江大学》2014年硕士论文　论文类型：学位论文

【摘要】：Cramer-Lundbcrg经典风险模型是保险数学中的一个基本模型,破产概率是风险理论最为关注的内容之一.考虑到保险产品的多元化和保险公司经营时的投资回报,本文主要就在连续时间内的双险种风险模型和带常利息双险种风险模型的破产概率进行讨论.首先,我们研究了当双险种的索赔额服从重尾分布时的这两类风险模型,得到了在独立赔付与相关赔付两种情形下的破产概率的渐近估计.接着,我们研究了当双险种的索赔额服从轻尾分布时的这两类风险模型,得到了破产概率的上界.之后通过数值模拟,我们发现这两类风险模型在重尾索赔下的破产概率较大,而在相同索赔条件下,带常利息双险种风险模型的破产概率较小.这些结果与保险公司的实际情况相符.
[Abstract]:Cramer-Lundbcrg 's classical risk model is a basic model in insurance mathematics, and the ruin probability is one of the most concerned contents in risk theory. In this paper, we mainly discuss the ruin probability of the double insurance risk model and the double insurance risk model with constant interest in the continuous time. Firstly, we study these two risk models when the claim amount of the double insurance is distributed from the heavy tail. The asymptotic estimates of the ruin probability are obtained in the case of independent and correlated claims. Then, we study these two risk models when the claim amount of double insurance is distributed from the light tail. The upper bound of ruin probability is obtained. By numerical simulation, we find that the ruin probability of these two kinds of risk models under heavy tail claims is high, but under the same claim conditions, The ruin probability of the double insurance risk model with constant interest is small. These results are in agreement with the actual situation of the insurance company.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;O211.67;F840.3

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