随机利率下带干扰的风险模型的破产概率

The Ruin Probability of Risk Model with Interference under Random Interest Force

在实际金融环境中,大量的保险业问题是包含诸如利息、折现等经济环境因素的,没有考虑利率影响的风险模型只能是一种理想化的模型.由于保险业务往往是一项中长期的金融业务,利息的随机波动是一种自然现象.对此,文章假定累计利息力过程是受标准布朗运动和Poisson过程影响的过程,通过使用鞅方法,得到了带干扰的风险模型的Lundberg基本方程及其破产概率,所得结果推广了常利率下带干扰的风险模型的相关结果.

In actual financial environment, a great number of insurance industry problems include such as interest and discount. The risk model which does not consider interest force is only an utopian model. As the insurance business is a long-term financial business, the random motion of the interest is a kind of natural phenomena. So, we model the interest force accumulating process by standard Brownian motion and Poisson process：by martingale approach,we achieve Lundberg＇s fundamental equation and its ruin probability. The results obtained generalize the Interference Models with constant rate.