带投资组合和超额赔款的再保险双Cox风险模型

The Double Cox Risk Model of Reinsurance with Portfolio and Excess of Loss

对于保单到达过程与索赔过程均为Cox过程的情况,考虑到保险公司为了规避风险进行投资组合和再保险,将经典风险模型推广,建立了一类再保险双Cox风险模型,运用鞅论方法得到了此模型Lundberg指数上界和破产概率的上界,并给出了最终破产概率的解析表达式.

For the insurance company policy arrival process and claims process are Cox process,considering the insurance company investment combination and reinsurance to evade bankruptcy,the classical risk model is generalized and a double Cox risk model of reinsurance with portfolio and excess of loss is established. Using the knowledge of martingale theory,the upper bounds of ruin probability,Lundberg exponent and the ultimate ruin probability of this model are studied.