具有退保事件的双险种风险模型

A Kind of Doubletype-Insurance Risk Model with Surrender Events

研究了一类带有退保事件且退保和索赔均为稀疏过程的双险种风险模型.该模型假设两险种的保费收入均为Poisson过程,而两险种的索赔到达过程均为保单到达过程的稀疏过程,并考虑到退保事件、随机扰动、保险公司的综合利率,分析了盈余过程及调节系数的性质,利用鞅分析得到了该模型下的破产概率的Lundberg不等式及其精确表达式.

In this paper, we consider a kind of doubletype-insurance risk model including surrender events and claims while surrenders follow thinning process.In the model, the premium income of the two insurance follow Poisson processes and the arrival of the claims follows two thinning process of the arrival of the insurance policies.Moreover, we take the surrender events, random disturbance and the composite interest rate of the insurance company into account, study the nature of surplus process and the adjustment coefficient, and obtain the Lundberg inequality and the accurate expression of ruin probability by martingale analysis.