首页 | 本学科首页   官方微博 | 高级检索  
     检索      

带干扰复合泊松模型下对调整系数的新研究(英文)
引用本文:王伟,张春生.带干扰复合泊松模型下对调整系数的新研究(英文)[J].应用概率统计,2010,26(2):113-122.
作者姓名:王伟  张春生
作者单位:南开大学数学学院,天津,300071
摘    要:本文研究了带干扰复合泊松模型中采用成数再保与超额损失再保险混合策略时作为自留额水平函数的调整系数.我们按照原始条款计算成数再保费,按照期望值保费原则计算超额损失再保费,这样得到了调整系数是超额损失自留额极限的单峰函数的结论.本文最后部分给出了有限时间破产概率的上界.

关 键 词:调整系数  超额损失再保险与成数分保的组合  干扰  破产概率  上界

A New Look at the Adjustment Coefficient in theCompound Poisson Model Perturbed by Diffusion
WANG WEI,ZHANG CHUNSHENG.A New Look at the Adjustment Coefficient in theCompound Poisson Model Perturbed by Diffusion[J].Chinese Journal of Applied Probability and Statisties,2010,26(2):113-122.
Authors:WANG WEI  ZHANG CHUNSHENG
Institution:School of Mathematical Sciences and LPMC,Nankai University
Abstract:In this paper, we study theadjustment coefficient as a function of the retention levels forcombinations of quota-share with excess of loss reinsurance in thecompound Poisson model perturbed by diffusion. We calculate thequota-share on original terms and the excess of loss reinsurancepremium according to the expected value principle. Then the resultthat the adjustment coefficient is a unimodal function of theretention limit for excess of loss reinsurance in this risk model isobtained. In the last part of this paper, an upper bound for theprobability of ruin in finite horizon is given.
Keywords:Adjustment coefficient  combinations of excess of loss with quota-share reinsurance  diffusion  the probability of ruin  upper bound
本文献已被 CNKI 万方数据 等数据库收录!
点击此处可从《应用概率统计》浏览原始摘要信息
点击此处可从《应用概率统计》下载免费的PDF全文
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号