| 带干扰的常利率超额再保险Poisson风险模型的最优自留额 |
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| 引用本文： | 孙映霞,刘庆平.带干扰的常利率超额再保险Poisson风险模型的最优自留额[J].数学理论与应用,2009(4):20-24. |
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| 作者姓名： | 孙映霞 刘庆平 |
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| 作者单位： | 中南大学数学科学与计算技术学院,长沙410075 |
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| 摘 要： | 本文推广了Centeno1]，何树红2]，张茂军3]的模型，研究带干扰的常利率超额再保险风险模型。首先用鞅方法求得其调节函数，进而证明Lundberg不等式，给出有限时间破产概率上界，并讨论最优自留额的确定。
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| 关 键 词： | 鞅 超额再保险 破产概率 标准Brownian运动 |
The Optimal Retention of a Poisson Risk Model on Excess Reinsurance in Constant Interest Rate with Disturbance |
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| Sun Yingxia Liu Qingping.The Optimal Retention of a Poisson Risk Model on Excess Reinsurance in Constant Interest Rate with Disturbance[J].Mathematical Theory and Applications,2009(4):20-24. |
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| Authors: | Sun Yingxia Liu Qingping |
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| Institution: | Sun Yingxia Liu Qingping (School of Mathematical Science and Computing Technology, Central South University, Changsha,410075) |
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| Abstract: | In this paper, we consider a general model on excess reinsurance with constant interest rate and disturbance of Brownian motion. The adjustment equation of the model is derived by a similar argument to 3 ], upper bounds for the finite rime ruin probability and ultimate ruin probability are also obtained,in addition, a optimal retention,in the sense of minimizing the upper bounds of the finite time ruin probability, is obtained. The underline model can be regarded as a genetalization of the models in 1],2],3]. |
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| Keywords: | Martingale Excess reinsurance Ruin probability Standard Bmwnian Motion |
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