辽宁工程技术大学学报（自然科学版）2012，Vol.31Issue(1)：131-134,4.
带常利率和干扰项的负风险模型相关性质
Basic properties of negative risk model with constant interest and disturbance
摘要
Abstract
In order to overcome the difference between the basic negative risk model and insurance companies' operation, a negative risk model with both constant interest and disturbance has been developed. The model reflexes the realities in insurance companies and other business companies. Firstly, this paper derives the properties of the new model by using the definition and properties of moment generating function, and introduces the conception of adjustment coefficient. Secondly, this paper proves the expression of ruin probability by using Chebyshev inequality and obtains the Lundberg upper bound of the new model. Finally, this paper demonstrates the effect of two factors on the new model through numerical examples. The result shows that if the disturbance is fixed, the ruin probability upper bound of the new model will be reduced as interest increase; and it will increase under the effect of disturbance when the interest is fixed. This study is useful to the insurance companies' operation.关键词
负风险模型/常利率/干扰项/布朗运动/复合泊松过程/调节系数/Lundberg上界/破产概率Key words
negative risk model/ constant interest/ disturbance items/ brownian motion/ compound Poisson process/ adjustment coeffcient/ Lundberg upper bound/ ruin probability分类
数理科学引用本文复制引用
王怡菲,王永茂..带常利率和干扰项的负风险模型相关性质[J].辽宁工程技术大学学报（自然科学版）,2012,31(1):131-134,4.基金项目
河北省教育基金资助项目(Z2008136) （Z2008136）
