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  本文選題：雙險種風(fēng)險模型　切入點：連續(xù)時間　出處：《浙江大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：Cramer-Lundbcrg經(jīng)典風(fēng)險模型是保險數(shù)學(xué)中的一個基本模型,破產(chǎn)概率是風(fēng)險理論最為關(guān)注的內(nèi)容之一.考慮到保險產(chǎn)品的多元化和保險公司經(jīng)營時的投資回報,本文主要就在連續(xù)時間內(nèi)的雙險種風(fēng)險模型和帶常利息雙險種風(fēng)險模型的破產(chǎn)概率進行討論.首先,我們研究了當(dāng)雙險種的索賠額服從重尾分布時的這兩類風(fēng)險模型,得到了在獨立賠付與相關(guān)賠付兩種情形下的破產(chǎn)概率的漸近估計.接著,我們研究了當(dāng)雙險種的索賠額服從輕尾分布時的這兩類風(fēng)險模型,得到了破產(chǎn)概率的上界.之后通過數(shù)值模擬,我們發(fā)現(xiàn)這兩類風(fēng)險模型在重尾索賠下的破產(chǎn)概率較大,而在相同索賠條件下,帶常利息雙險種風(fēng)險模型的破產(chǎn)概率較小.這些結(jié)果與保險公司的實際情況相符.
[Abstract]:Cramer-Lundbcrg 's classical risk model is a basic model in insurance mathematics, and the ruin probability is one of the most concerned contents in risk theory. In this paper, we mainly discuss the ruin probability of the double insurance risk model and the double insurance risk model with constant interest in the continuous time. Firstly, we study these two risk models when the claim amount of the double insurance is distributed from the heavy tail. The asymptotic estimates of the ruin probability are obtained in the case of independent and correlated claims. Then, we study these two risk models when the claim amount of double insurance is distributed from the light tail. The upper bound of ruin probability is obtained. By numerical simulation, we find that the ruin probability of these two kinds of risk models under heavy tail claims is high, but under the same claim conditions, The ruin probability of the double insurance risk model with constant interest is small. These results are in agreement with the actual situation of the insurance company.
【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;O211.67;F840.3

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本文編號：1558970