摘要
本文讨论了风险模型中盈余过程的破产时刻和即将破产前的盈余及破产赤字三个变量之间的分布关系 ,指出保险人为避免发生破产 ,可购买再保险 ,使盈余过程总取正值 .给出了再保险的净保费的表示式 .研究了风险模型在金融领域中的投资基金的防护问题 ,指出基金所有人可购买担保契约 ,使基金累积值总在防护水平之上 .
This paper discusses the joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin of the surplus process in risk theory, stating that the insurer may buy a reinsurance contract so that the surplus process will always take on positive values without causing ruin. An explicit expression for the net single premium of such a contract is given. Then the paper investigates the problem of investment fund protcetion in finance as an application of risk theory, stating that the owner of the investent fund may buy a guarantee so that the aggregated fund values will always be above a protection level. In addition, an explicit expression for the cost of the guarantee is given.
出处
《南开大学学报（自然科学版）》
CAS
CSCD
北大核心
2000年第1期76-80,105,共6页
Acta Scientiarum Naturalium Universitatis Nankaiensis
基金
国家哲学社会科学基金!( 97BJB0 56)资助项目
关键词
盈余过程
风险
破产
再保费用
保险
投资基金
Lundberg fundamental equation
compound Poisson process
surplus process
martingales
