随机利率下的复合Poisson-Geometric风险模型及破产概率

Study on Poisson-Gemotric Process Risk Model and Bankruptcy Probability under Stochastic Interest Rate

本文主要研究的是在随机利率下保费收入为复合Poisson-Geometric过程的风险模型,在随机利率为levy过程的情况下,得到了破产概率满足的积分方程,以及得到最终破产概率的上下界所满足的积分不等式,以此作为保险公司经营的预警信号更具有现实意义。

Under the stochastic rates of interest ,we discuss the premium income which is the Compound Poisson-Geometric ,and the stochastic interest is a levy process. Then we get the integral equation of bankruptcy probability and the lower and upper bounds of final bankruptcy probability. As the prewarning signals of the insurance companies it will have more practical significance.