摘要
保险公司在实际经营中,可能会受到利率、通货膨胀、投资收益等不确定性因素的制约。针对离散的经典的复合负二项风险模型,加入扰动项,建立了一个更现实的风险模型,即带干扰的复合负二项风险模型。讨论了盈余过程的一些性质,得到了最终破产概率的一般表达式和上界,该模型对保险公司的实际运营具有一定指导作用。
In actual operation,the insurance company may be restricted by some uncertainties,such as the interest rate,inflation,and return on investment,etc.Based on the discrete and typical compound negative binomial risk model,amore realistic risk model was established by adding into the perturbation item in the paper,that was called the compound negative binomial risk model with perturbation.Some features of the surplus process were discussed and,the general expression and the upper bound of the final bankrupt probability for the new model were got by use of martingale.The model is of some directive functions in actual operations of insurance companies.
出处
《山东科技大学学报（自然科学版）》
CAS
2010年第5期102-104,共3页
Journal of Shandong University of Science and Technology(Natural Science)
基金
山东科技大学科学研究"春蕾计划"项目(2009AZZ087)
