| 张邦,刘自强,宋鑫.随机利率下带干扰的双复合Poisson-Geometric过程双险种风险模型的破产概率研究[J].南华大学学报(自然科学版),2023,(6):81~85.[ZHANG Bang,LIU Ziqiang,SONG Xin.A Study on Bankruptcy Probability of Double-Risk Risk Model of Bicompound Poisson-Geometric Process with Interference Under Random Interest Rate[J].Journal of University of South China(Science and Technology),2023,(6):81~85.] |
| 随机利率下带干扰的双复合Poisson-Geometric过程双险种风险模型的破产概率研究 |
| A Study on Bankruptcy Probability of Double-Risk Risk Model of Bicompound Poisson-Geometric Process with Interference Under Random Interest Rate |
| 投稿时间：2023-09-21 |
| DOI： |
| 中文关键词: 随机利率 复合Poisson-Geometric过程 风险模型 破产概率 |
| 英文关键词:random interest rate compound Poisson-Geometric process risk model bankruptcy probability |
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| 中文摘要: |
| 随着保险公司业务不断扩张和实际情况的日益复杂化,经典风险模型已经不能准确描述保险营运的实际过程;本文在已有模型的基础上将随机利率和干扰因素融入模型中,将模型推广为保费过程和索赔过程均为复合Poisson-Geometric风险模型,利用期望方法和切比雪夫不等式得到该风险模型的调节系数、破产概率表达式和Lundberg上界。 |
| 英文摘要: |
| With the business expansion of insurance companies and the increasing complexity of the actual situation, the classical risk model has been unable to accurately describe the actual process of insurance operation. Based on the existed model, this paper integrates stochastic interest rate and interference factors into the model, and extends the model as a compound Poisson-Geometric risk model for both premium process and claim process. The adjustment coefficient, bankruptcy probability expression and Lundberg upper bound of the risk model are obtained by using expectation method and Chebyshev inequality. |
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