多险种的Cox风险模型

Cox risk model with multiple variety of risks

作为经典风险模型的一个推广,构造一种理赔次数服从Cox过程,且具有相依关系的多险种同时并存的风险模型,运用鞅方法得到破产概率的上界.并在理赔发生过程简化为混合Poisson过程时,通过应用Markov链的性质,获得终极破产概率应满足的积分方程.

As a generalization of the classical risk model,a risk model that the number of claims obeys Cox process was proposed,in which the inter-dependent multiple variety of risk coexist.The upper boundary of bankruptcy probability was obtained with martingale approach.By using the property of Markov chain,the integral equation which should be satisfied by ultimate bankruptcy probability was obtained when the occurrence process of the claims was simplified into the mixed Poisson process.