带有随机利率的多维风险模型有限时间破产概率

发布时间：2018-12-17 04:42

【摘要】：破产概率是现代保险精算学中的一个经典问题,主要是研究保险公司发生大额索赔时在有限时间内的生存概率或者破产概率.唐启鹤和汪世界是现代保险精算理论的代表人物,他们将破产概率的研究推广到了一个新的高度. 但是,我们发现几乎所有文章研究的都是一种索赔,也就是说保险公司仅提供了一种保单的业务.事实上这个假设是不正确的,多维风险模型的破产概率问题更接近保险公司的实际情况.因此,本文考虑有多种保单的多维风险模型. 在本文中,假设保险公司有8种保单,第i种保单的净损失记为{Xi,Xiκ,κ≥1},它们是一列独立同分布的随机变量,第κ年的利率记为rκ,κ=1,2,…,{Xi,Xiκ,κ≥1}si=1和{rκ,κ=1,2,…}是相互独立的,我们得出了带有随机利率的离散时间多维风险模型的有限时间破产概率的渐近性.
[Abstract]:Ruin probability is a classical problem in modern insurance actuary. It mainly studies the survival probability or ruin probability of insurance company in a limited time when a large claim is made. Tang Qi-he and Wang World are representatives of modern actuarial theory of insurance. They extend the study of bankruptcy probability to a new height. However, we find that almost all of the articles are concerned with a claim, that is, the insurance company provides only one kind of insurance policy business. In fact, this assumption is incorrect. The ruin probability problem of multidimensional risk model is closer to the actual situation of insurance company. Therefore, this paper considers multidimensional risk models with multiple policies. In this paper, assuming the insurance company has eight policies, the net loss of the first type of policy is recorded as {Xi,Xi 魏, 魏 鈮，

本文编号：2383673