稀疏过程下考虑多因素的几种风险模型

发布时间：2018-07-12 15:56

本文选题：破产概率 + Lundberg不等式　；参考：《长沙理工大学》2014年硕士论文

【摘要】：全球经济的日益繁荣与复杂多变,造就了保险业的不断发展与壮大.保险公司通过销售保单不断获取资金收入的同时,也为投保人担当一定的经济风险.在实际保险业务中,一旦发生巨额理赔,单独的一家保险公司就很可能无法承担损失,因而采取再保险措施就可以分散风险,提高保险公司的运营稳定性.同时,保险公司考虑到盈余低于初始准备金的某个额度时,就需要调整运营模式或提出破产.本文力求在符合现实条件的基础上,主要分四章来研究一些具体的风险模型.第三章至第六章在内容上均考虑了稀疏、随机干扰、变破产下限等因素,得出的主要推论有平稳独立增量性质、调节系数的存在与唯一性等,主要结论有相应的破产概率一般表达式和Lundberg不等式等.这里所研究的模型是在参考文献的基础上进行的推广或完善.第三章考虑的是一种引入了红利支付的比例再保险风险模型.第四章考虑的是一种保费的收取过程和理赔过程分别属于不同的随机过程下的双险种风险模型.第五章研究的是一种在随机利率下的多险种风险模型.第六章研究的是一种赔付超额再保险的风险模型.
[Abstract]:With the increasing prosperity and complexity of the global economy, the insurance industry has been developing and expanding. Insurance companies through the sale of insurance policies continue to earn capital income, but also for policy holders to bear certain economic risks. In the actual insurance business, once a huge amount of claims occur, a single insurance company may not be able to bear the loss, therefore, the adoption of reinsurance measures can spread the risk and improve the operational stability of the insurance company. At the same time, insurance companies need to adjust their operating patterns or file for bankruptcy when the surplus is below a certain amount of the initial reserve. This paper tries to study some specific risk models in four chapters on the basis of realistic conditions. In the third and sixth chapters, we consider the factors such as sparsity, random disturbance, variable lower limit of bankruptcy and so on. The main inferences are stable independent increment, the existence and uniqueness of adjustment coefficient, etc. The main conclusions are the corresponding general expression of ruin probability and Lundberg inequality. The model studied here is a generalization or perfection based on references. The third chapter considers a proportional reinsurance risk model which introduces dividend payment. In chapter 4, we consider a double insurance risk model in which the premium collection process and the claim process belong to different stochastic processes. In chapter 5, we study a multi-insurance risk model under random interest rate. The sixth chapter studies a risk model of overpaid reinsurance.
【学位授予单位】：长沙理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224

【参考文献】