投资收益相依性的风险模型

Maximal aggregate loss is applied in the ruin probability

本文首先提出了投资收益相依性的风险模型并给出了其风险模型的破产概率,并且讨论了在双项投资的情况下如何合理分配使得保险公司取得最佳经营.最后给出在多项投资情况下的分配方案.

In this paper, first give a risk model which have relation between investments and surplus. In addition.the paper solves the ruin probability of this risk model, then the paper discuss the risk company how do arrange the investments in order to achieve the best result. Finally.the paper give a good arrange way in the some kinds of investments.