一类相关多险种风险模型的破产问题研究

Investigation on the Bankrupt Problem of Multiple-Type Risk Model With Dependent Claims Number Process

作者研究了汽车保险中的一类相依多险种风险模型,将汽车事故时引起其他险种要求索赔的概率看作是一个与时间相关的函数,用对非齐次Poisson过程的稀疏与分解将该模型转化为独立多险种风险模型,证明了转化的合理性,进而给出破产概率的上界估计,该结论更具有实用性和一般性。

In this paper, we discuss problems about a multiple-type risk model m automoone insurance whose claims number processes are dependent. We suppose that it would cause other kinds of claims with probabilities related to time when a traffic accident happened. And we show that this model can be converted to multiple-type risk model whose claims number processes are dependent by using the decomposition of inhomogeneous poisson process and prove the rationality of this conversion. Then we get the estimation of the upper bounds of its ruin probability. The result is provided with more practicabilities and universalities.