摘要
本文研究了带干扰复合泊松模型中采用成数再保与超额损失再保险混合策略时作为自留额水平函数的调整系数.我们按照原始条款计算成数再保费,按照期望值保费原则计算超额损失再保费,这样得到了调整系数是超额损失自留额极限的单峰函数的结论.本文最后部分给出了有限时间破产概率的上界.
In this paper,we study the adjustment coefficient as a function of the retention levels for combinations of quota-share with excess of loss reinsurance in the compound Poisson model perturbed by diffusion.We calculate the quota-share on original terms and the excess of loss reinsurance premium according to the expected value principle.Then the result that the adjustment coefficient is a unimodal function of the retention limit for excess of loss reinsurance in this risk model is obtained.In the last part of this paper,an upper bound for the probability of ruin in finite horizon is given.
出处
《应用概率统计》
CSCD
北大核心
2010年第2期113-122,共10页
Chinese Journal of Applied Probability and Statistics
基金
supported by National Natural Science Foundation of China(10871102)
关键词
调整系数
超额损失再保险与成数分保的组合
干扰
破产概率
上界
Adjustment coefficient
combinations of excess of loss with quota-share reinsurance
diffusion
the probability of ruin
upper bound
