一類具有隨機保費收入的帶擾動的風險模型下破產(chǎn)概率的研究.pdf

1、華東師范大學碩士學位論文一類具有隨機保費收入的帶擾動的風險模型下破產(chǎn)概率的研究姓名：蔡建華申請學位級別：碩士專業(yè)：精算學指導教師：汪榮明20080501ABSTRACTIn羽】r蛆oehavethefunctionofriskrelocation，whichisthestabilizerofthesocietyBusinesssolvencyisoneofthemostimportantindexesthatmakesuretheins

2、urancecompaniesworkfluentlyHowtoweighitisaveryimportanttaskTheruintheoryplaysanimportantroleintheresearchonbusinesssolvencyalsohasextensivelypracticalusoAsanextensionoftheruintheoryconsiderationoftheriskmodelwithstochast

3、icpremiumandjumpdiffusionsurplusprocessisveryrealisticTheriskmodelwithstochasticpremiumandjumpdiffusionisconsideredinthispaperThebackgroundoftheclassicalriskmodelisintroducedinchapter1Thebackgroundofthebasicmodelinthispa

4、perisintroducedinchapter2section1Asanextensionoftheclassicalruinprobabilityexponentialboundsforrainprobabilitiesarederivedbymartingalemethodinchapter2section2；Insection3，thesamemethodusedinCaiJun&XuChengming[1】isintroduc

5、edtoderiveintegrodifferentialequationsforthediscountexpectationoftheruinprobabilityaspecialcasethatcanbesolvedbyordinarydifferentialequationmethodisstudiedInchapter3section1，basedontheriskmodelwithjumpdiffusionworkedbyCa

6、lJun&XuChengming[1]，stochasticpremiumisaddedinthispaper，theintegrodifferentialequationsforthesurplusisworkedoutAsaspecialcase，thethirdorderdifferentialequationisderivedwhenboththepremiumandtheclaimsizeareexponentialdistr

7、ibutionsAccordingtoYang’Sdiscussion，thesamemethodcanbeusedinplacethatsurpluscanbeinvestedinbothriskyandriskfreeassets，ByusingtheHJBequationThismethodistobeusedtoderiveintegrodifferentialequationsforOurriskmodelTheriskmod

8、elswithinvestingenvironmentintroducedinthispaperareextensivetoacertainextentSomeresultsofotherscholarscallbeconsideredasspecialc8湖ofOUrSWehopethatthoseresultsarehelpfultothescientificmanagementofinsurancecompanyunderthec