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一个可变保费巨灾风险模型的局部破产概率
  • ISSN号：0583-1431
  • 期刊名称：数学学报
  • 时间：2014.1.1
  • 页码：1-8
  • 分类：O211.3[理学—概率论与数理统计;理学—数学] O213.2[理学—概率论与数理统计;理学—数学]
  • 作者机构：[1]中国科学技术大学统计与金融系,合肥230026, [2]曲阜师范大学数学科学学院,曲阜273165
  • 相关基金：国家重点基础研究发展计划973项目（2007cB814901）;国家自然科学基金资助项目（11171179）国家自然科学数学天元基金资助项目（11226213）
  • 相关项目：不等式约束下正倒向随机微分方程统计推断问题的研究
作者： 毕秀春|
关键词： 巨灾索赔, 保费率, 破产概率, 重尾分布, 网络马氏骨架过程, catastrophe claims, premium rates, ruin probability, heavy-tailed distri-bution, web Markov skeleton process
中文摘要：

考虑极端风险的情况，建立了巨灾风险模型，得到了保险公司破产概率的局部结果．预期有巨灾索赔发生的时候，模型会对保险费率做出相应的调整以减少损失．还提出一个网络马氏骨架框架下的回归型索赔相依的风险模型，该模型不仅在精算领域有很大的理论和应用价值，在网络，金融，生物，排队论等其他领域也将有广泛的应用．

英文摘要：

We introduce a catastrophe risk model with variable premium rates and obtain a local result of the ruin probability under heavy-tailed claims. In addition, we extend the risk model and propose a regression-type size-dependence one under the framework of web Markov skeleton process, which has some theoretic and practical value in the field of actuarial, and allows applications in various areas.

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期刊信息
  • 《数学学报》
  • 北大核心期刊（2011版）
  • 主管单位:中国科学院
  • 主办单位:中国科学院数学与系统科学研究院数学研究院
  • 主编：李炳仁
  • 地址：北京市海淀区中关村东路55号
  • 邮编：100080
  • 邮箱：Actamath@amss.ac.cn
  • 电话：010-62551910
  • 国际标准刊号：ISSN：0583-1431
  • 国内统一刊号：ISSN：11-2038/O1
  • 邮发代号:2-502
  • 获奖情况:
  • 1996年中科院优秀科技期刊二等奖,1997年全国优秀科技期刊二等奖,2000年中科院优秀科技期刊二等奖
  • 国内外数据库收录:
  • 美国数学评论（网络版）,德国数学文摘,荷兰文摘与引文数据库,日本日本科学技术振兴机构数据库,中国中国科技核心期刊,中国北大核心期刊（2004版）,中国北大核心期刊（2008版）,中国北大核心期刊（2011版）,中国北大核心期刊（2014版）,中国北大核心期刊（2000版）
  • 被引量:9981