[1]蒋兰青.带干扰的相依双险种再保险模型的破产概率[J].延边大学学报(自然科学版),2014,40(03):207-210.
JIANG Lanqing.The ruin probability of double insurance risk model with interference and dependence[J].Journal of Yanbian University,2014,40(03):207-210.
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JIANG Lanqing.The ruin probability of double insurance risk model with interference and dependence[J].Journal of Yanbian University,2014,40(03):207-210.
带干扰的相依双险种再保险模型的破产概率
《延边大学学报(自然科学版)》[ISSN:1004-4353/CN:22-1191/N]
卷:
第40卷
期数:
2014年03期
页码:
207-210
栏目:
基础科学研究
出版日期:
2014-09-20
- Title:
- The ruin probability of double insurance risk model with interference and dependence
- Keywords:
- dependent risks; quota-share reinsurance; excess of loss reinsurance; interference; ruin probability
- 分类号:
- O29
- 文献标志码:
- A
- 摘要:
- 研究了一类带干扰的理赔相依双险种再保险模型,其中两险种分别采取成数再保险和超额损失再保险,在期望保费计算原理下,得到了改进模型的Lundberg不等式与最终破产概率的上界.
- Abstract:
- We consider a double-reinsurances risk model with interference and dependence,where one claim with quota-share reinsurance and the other with excess of loss reinsurance, under the expected value prem-ium principles, we get the last probability of ruin and Lundberg upper bound.
参考文献/References:
[1] CentenoM L. Dependent risks and excess of loss reinsurance[J]. Insurance: Mathematics and Economics, 2005,37:229-238.
[2] 蔡平霞.双险种最优再保险策略[J].数学理论与应用,2010,30(2):101-104.
[3] Grandell J. Aspects of Risk Theory[M]. New York: Springer-Verlag, 1991.
[4] 殷小琴.复合泊松过程及其在保险风险中若干应用[J].数学理论与应用,2009,29(4):122-124.
[5] Gerber H U, Shiu E. On the time value of ruin[J]. North Amer Actuar J, 1998,2:48-78.
[6] ?ksendal B. Stochastic Differential Equations[M]. New York: Springer-Verlag, 2000.
备注/Memo
收稿日期: 2014-05-10作者简介: 蒋兰青(1986—),女,助教,研究方向为应用概率统计.
更新日期/Last Update:
2014-09-20