综合利率下带投资和再保险的双二项离散风险模型

Binomial Discrete Risk Model with Investment and Reinsurance Under Comprehensive Rate

在考虑综合利率、投资、再保险等因素的前提下研究双二项离散风险模型的破产问题.运用随机过程、保险精算、数理统计、数值仿真等相关领域方法对新模型的性质进行研究,证得模型破产概率的Lundberg不等式及其上界,得到了模型破产概率上界的显示解,并对这一结论进行了理论分析.对新模型进行的数值模拟很好地验证了所得结论.

Taking comprehensive interest rate,investment,reinsurance and other factors into account,bankruptcy of binomial discrete risk model was studied.The Lundberg inequality and its upper bound of the ruin probability of the model are obtained by usingthe knowledge of the stochastic process,insurance actuarial,mathematical statistics,numerical simulation and other related fields.Theprobability of ruin of the model is obtained and the theoretical analysis of the conclusions is done.The numerical simulation of thenew model is a good test of this conclusion.