多重超额损失—比例混合分保情形下破产理论的若干结论

Some results for ruin probabilities of n-company stop loss—proportional mixed reinsurance

受Borch的启发,将再保险推广到具有三重超额损失—比例混合分保合同情形下的破产理论问题.在个体索赔额服从指数分布情形下,针对直接保险人、第一层和第二层的再保险人分别得到了破产概率的渐进表达式及调节系数,同时用Monte-Carlo模拟了所得的结果,精确值与模拟值吻合的相当好。该结果可以推广至多重的分保情形,并验证了指数分布的无记忆性的性质。

Inspired by K. Borch, this paper considers the ruin probabilities of n - company stop--loss -proportional mixed reinsurance, under the assumptions that the claims are exponentionally distributed The expressions for the ruin probabilities and adjustment coefficient of n - company are obtained. This results prove the important memoryless property of the exponential distribution.