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A Dependent Insurance Risk Model with Surrender and Investment under the Thinning Process

机译:稀疏过程下投降与投资的从属保险风险模型

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摘要

A dependent insurance risk model with surrender and investment under the thinning process is discussed, where the arrival of the policies follows a compound Poisson-Geometric process, and the occurrences of the claim and surrender happen as the p-thinning process and the q-thinning process of the arrival process, respectively. By the martingale theory, the properties of the surplus process, adjustment coefficient equation, the upper bound of ruin probability, and explicit expression of ruin probability are obtained. Moreover, we also get the Laplace transformation, the expectation, and the variance of the time when the surplus reaches a given level for the first time. Finally, various trends of the upper bound of ruin probability and the expectation and the variance of the time when the surplus reaches a given level for the first time are simulated analytically along with changing the investment size, investment interest rates, claim rate, and surrender rate.
机译:讨论了在稀疏过程中具有投降和投资的从属保险风险模型,其中保单的到来遵循复合泊松几何过程,索赔和投降的发生发生在p变薄过程和q变薄过程中。到达过程的过程。利用the理论,获得了剩余过程的性质,调整系数方程,破产概率的上限以及破产概率的明确表示。此外,我们还获得了拉普拉斯变换,期望以及剩余第一次达到给定水平时的时间方差。最后,随着投资规模,投资利率,债权率和投降率的变化,分析了破产概率和预期盈余上限的各种趋势以及盈余首次达到给定水平时的时间方差。率。

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  • 来源
    《Mathematical Problems in Engineering》 |2015年第19期|134246.1-134246.8|共8页
  • 作者

    Yu Wenguang; Huang Yujuan;

  • 作者单位

    Shandong Univ Finance & Econ, Sch Insurance, Jinan 250014, Peoples R China;

    Shandong Jiaotong Univ, Sch Sci, Jinan 250023, Peoples R China;

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  • 正文语种 eng
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