小额索赔情形下现代风险模型的破产概率上界
Upper bound of ruin probability for modern risk model with small claim condition
查看参考文献28篇
|
文摘
|
比较了经典风险模型(即Cramer-Lundberg模型)与现代风险模型,在小额索赔条件下,利用离散嵌入技术、随机游动方法和鞅方法获得了现代风险模型破产概率的指数型上界,并使用MATLAB数值模拟验证了结论的有效性.本文结果可为现实中保险公司的风险控制与初始保证金界定提供理论依据. |
|
其他语种文摘
|
This paper compares the classical Cramer-Lundberg Model with the modern risk model. Under the small claim condition, it derives an exponential upper bound of ultimate ruin probability for the modern risk model by a comprehensive application of embedding technology of stochastic processes, random walks method and martingale approach. A MATLAB numerical simulation is also provided to show the effectiveness of our result. This work provides a theoretical basis for risk controlling as well as initial capital rating for the realistic insurance companies. |
|
来源
|
系统工程学报
,2015,30(1):86-93 【核心库】
|
|
关键词
|
现代风险模型
;
破产概率
;
指数上界
;
小额索赔
|
|
地址
|
兰州大学管理学院, 甘肃, 兰州, 730000
|
|
语种
|
中文 |
|
文献类型
|
研究性论文 |
|
ISSN
|
1000-5781 |
|
学科
|
社会科学总论;数学 |
|
基金
|
国家自然科学基金资助项目
|
|
文献收藏号
|
CSCD:5376010
|
参考文献 共
28
共2页
|
|
1.
Cramer H. On the Mathematical Theory of Risk.
Skandia Jubilee Volume. Stockhole,1930
|
被引
1
次
|
|
|
|
|
2.
Feller W.
An Introduction to Probability Theory and Its Applications. (2nd Editon),1971
|
被引
1
次
|
|
|
|
|
3.
Gerber H U. An Introduction to Mathematical Risk Theory.
S. S. Huebner Foundation for Insurance Education,1979
|
被引
2
次
|
|
|
|
|
4.
Embrechts P.
Modelling Extremal Events for Insurance and Finance,1997
|
被引
140
次
|
|
|
|
|
5.
Rolski T.
Stochastic Processes for Insurance and Finance,1999
|
被引
74
次
|
|
|
|
|
6.
Grandell J.
Aspects of Risk Theory,1991
|
被引
156
次
|
|
|
|
|
7.
Goldie C M.
Subexponential Distributions,1998
|
被引
2
次
|
|
|
|
|
8.
Asmussen S. Risk theory in a Markovian environment.
Scandinavian Actuarial Journal,1989(2):69-100
|
被引
11
次
|
|
|
|
|
9.
Asmussen S. Subexponential asymptotics for stochastic processes:Extremal behaviour, stationary distributions and first passage probabilities.
Annals of Applied Probability,1998,8(2):354-374
|
被引
13
次
|
|
|
|
|
10.
Kaas R.
Modern Actuarial Risk Theory,2001
|
被引
16
次
|
|
|
|
|
11.
Thorin O. On the asymptotic behavior of the ruin probability for an infinite period when the epochs of claims form a renewal process.
Scandinavian Actuarial Journal,1974(2):81-99
|
被引
4
次
|
|
|
|
|
12.
Thorin O. Probabilities of ruin.
Scandinavian Actuarial Journal,1982(2):65-103
|
被引
6
次
|
|
|
|
|
13.
Embrechts P. Finite time Lundberg inequalities in the Cox case.
Scandinavian Actuarial Journal,1993(1):17-41
|
被引
2
次
|
|
|
|
|
14.
Sundt B. Ruin estimates under interest force.
Insurance:Mathematics and Economics,1995,16(1):7-22
|
被引
65
次
|
|
|
|
|
15.
Kalashnikov V V. Power tailed ruin probabilities in the presence of risky investments.
Stochastic Processes and Their Applications,2002,98(2):211-228
|
被引
11
次
|
|
|
|
|
16.
Paulsen J. Ruin theory with stochastic return on investment.
Advances in Applied Probability,1997,29(4):965-985
|
被引
29
次
|
|
|
|
|
17.
Cai J. Ruin probabilities with a Markov chain interest model.
Insurance:Mathematics and Economics,2004,35(3):513-525
|
被引
15
次
|
|
|
|
|
18.
赵武. 经典更新风险模型中带有随机利率的破产概率.
系统工程学报,2010,25(5):592-602
|
被引
1
次
|
|
|
|
|
19.
赵武. 组合投资策略下的最终破产概率问题研究.
系统工程学报,2009,24(4):417-422
|
被引
2
次
|
|
|
|
|
20.
江涛. 保险资金投资于风险资产的破产概率.
系统工程学报,2008,23(2):148-153
|
被引
1
次
|
|
|
|
|
了解气象卫星更多信息，请访问