| 基于破产概率的保险公司稳健性研究 |
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| 引用本文： | 姜锦宇.基于破产概率的保险公司稳健性研究[J].淮南职业技术学院学报,2014(1):37-42. |
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| 作者姓名： | 姜锦宇 |
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| 作者单位： | 浙江工商大学金融学院,杭州310018 |
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| 摘 要： | 破产概率是研究保险公司稳健性最主要的指标,综合考虑了保费收入与索赔过程,对于风险管理来说是一个重要工具,当资本金小于零时,破产就会发生;在索赔额为帕雷托分布下,研究了带投资收益的保险公司破产概率,在此基础上,对破产概率进行了系统的参数分析,其中既有常数利息力度情况又有布朗运动,并联系实际情况对此作出了解释。
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| 关 键 词： | 有限时间的破产概率 更新风险模型 常数利息力 标准布朗运动 |
On Robustness of Insurance Companies Based on the Ruin Probability |
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| JIANG Jin-yu.On Robustness of Insurance Companies Based on the Ruin Probability[J].Journal of Huainan Vocational & Technical College,2014(1):37-42. |
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| Authors: | JIANG Jin-yu |
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| Institution: | JIANG Jin-yu |
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| Abstract: | Ruin probability considering the premiums and claims,is a primary indicator of studying the robustness of an insurance company.It is an important tool for risk management.When capital is un-der zero,the bankruptcy will happen.In this paper,we draw a conclusion of ruin probability from the Pa-reto distribution of investment income.On this basis,the paper analyses the parameters and explains with practice situation. |
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| Keywords: | finite time ruin probability renewal risk model constant interest force standard Brown-ian motion |
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