| 随机利率下的复合Poisson-Geometric风险模型及破产概率 |
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| 引用本文： | 乔晓燕,赵博. 随机利率下的复合Poisson-Geometric风险模型及破产概率[J]. 价值工程, 2010, 29(8): 29-30 |
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| 作者姓名： | 乔晓燕 赵博 |
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| 作者单位： | 中央民族大学理学院,北京,100081;中央民族大学理学院,北京,100081 |
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| 摘 要： | 本文主要研究的是在随机利率下保费收入为复合Poisson-Geometric过程的风险模型,在随机利率为levy过程的情况下,得到了破产概率满足的积分方程,以及得到最终破产概率的上下界所满足的积分不等式,以此作为保险公司经营的预警信号更具有现实意义。
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| 关 键 词： | 随机利率 复合Poisson-Geometric过程 破产概率 levy过程 |
Study on Poisson-Gemotric Process Risk Model and Bankruptcy Probability under Stochastic Interest Rate |
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| Qiao Xiaoyan,Zhao Bo. Study on Poisson-Gemotric Process Risk Model and Bankruptcy Probability under Stochastic Interest Rate[J]. Value Engineering, 2010, 29(8): 29-30 |
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| Authors: | Qiao Xiaoyan Zhao Bo |
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| Affiliation: | School of Science/a>;Central University for Nationalities/a>;Beijing 100081/a>;China |
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| Abstract: | Under the stochastic rates of interest ,we discuss the premium income which is the Compound Poisson-Geometric ,and the stochastic interest is a levy process. Then we get the integral equation of bankruptcy probability and the lower and upper bounds of final bankruptcy probability. As the prewarning signals of the insurance companies it will have more practical significance. |
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| Keywords: | stochastic rates of interest compound poisson-geometric process bankruptcy probability levy process |
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