哈尔滨理工大学应用科学学院
Published:2012
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KONG Fan-liang, LU Juan-juan. The Ruin Probability of the Integrated Cox Risk Model[J]. 2012, 17(3): 58-61.
DOI:
KONG Fan-liang, LU Juan-juan. The Ruin Probability of the Integrated Cox Risk Model[J]. 2012, 17(3): 58-61. DOI:
针对实际情况
在保单到达过程和理赔过程均为Cox过程的基础上
引入了随机利率、投资收益、退保因素
并且要求退保过程的累计强度过程仍为Cox过程
从而得到一个综合的Cox风险模型
并利用鞅论的有关知识对该模型进行研究
进而得到该综合的Cox风险模型的最终破产概率的Lundberg不等式上界表达式. 更多还原
According to the actual situation
on the basis of insurance claims arrival process and process for Cox process
introducing the stochastic interest rate
investment income
surrender factors
and requiring refund process cumulative intensity process is Cox process
we get a comprehensive Cox risk model
then using the relevant knowledge of the martingale theory study the model
we get the integrated Cox risk model ruin probability Lundberg inequality upper bound expression.
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