| 随机利率因素下的多险种破产模型 |
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| 引用本文： | 于文广,黄玉娟.随机利率因素下的多险种破产模型[J].临沂师范学院学报,2006,28(6):9-13. |
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| 作者姓名： | 于文广 黄玉娟 |
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| 作者单位： | 1. 山东经济学院,统计与数学学院,山东,济南,250014
2. 山东交通学院,数理系,山东,济南,250023 |
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| 摘 要： | 推广了经典的复合泊松风险模型,建立了复合广义齐次poisson过程的多险种破产模型,并且考虑了随机利率因素,使得该模型更加具有实际意义．同时导出了随机利率下初始资本为u的破产概率(?)(u)的精确表达式,建立了调节系数方程,估计了调节系数的上下界．
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| 关 键 词： | 随机利率 破产概率 复合广义齐次poisson过程 矩母函数 调节系数 |
| 文章编号： | 1009-6051（2006）06-0009-05 |
| 收稿时间： | 2006-03-28 |
| 修稿时间： | 2006-03-28 |
The Probability of Ruin for Multitype-insurance Risk Model with Stochastic Interest |
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| YU Wen-guang,HUANG Yu-juan.The Probability of Ruin for Multitype-insurance Risk Model with Stochastic Interest[J].Journal of Linyi Teachers' College,2006,28(6):9-13. |
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| Authors: | YU Wen-guang HUANG Yu-juan |
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| Institution: | 1. Department of Mathematics and Statistics, Shandong Economic University, Jinan Shandong, 250014, China; 2. Department of Mathematics and Physics, Shandong Jiaotong University,Jinan Shandong, 250023, China |
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| Abstract: | In this paper, the classical compound poisson risk model is generalized and the multitype-insurance ruin model is set up. At the same time, the stochastic interest is considered so that the ruin model has more significance in practice. In addition, the ruin probability (?)(u) of the initial capital u with stochastic interest is derived with adjustment coefficient equation established and the adjustment coefficient R estimated. |
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| Keywords: | stochastic interest ruin probability compound generalized homogeneous poisson process moment generating function adjustment coefficient |
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