摘要
提出了含利率因素的复合二项双险种风险模型,并在有关假设的基础上,给出了此模型下保险公司稳定经营的必要条件;证明了索赔时刻的盈余过程是一马氏过程和调节系数的存在性,并采用递归方法得到了模型的破产概率的上界估计.
Two double type insurance risk model with interest rate factor was present. Based on the relevant assumptions, the necessary condition of stable operation of insurance companies was given in this model. Firstly surplus process in moments of claim, which is a Markov chain, and the existence of the adjustment coefficient were proved. Then the upper bound of the ruin probabilities for this model was obtained by recursive method.
出处
《数学的实践与认识》
CSCD
北大核心
2014年第19期81-89,共9页
Mathematics in Practice and Theory
基金
陕西省教育厅自然科学基金(2013JK0576)
陕西省高水平大学建设专项资金资助项目(2012SXTS07)
关键词
利率
双险种
复合二项风险模型
破产概率
interest rate
double type insurance
compound binomial risk model
ruin probabilities
