Martingale Analysis of the Reinsurance Risk Model and its Ruin Probability

机译：再保险风险模型的Ru分析及其破产概率

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摘要

This paper introduces a concept — reinsurance. The existed model is extended to a reinsurance compound Poisson risk model with interference. The Lundberg inequality and the common formula of the ruin probability are gotten in terms of some techniques from martingale theory.

机译：本文介绍了一个概念-再保险。将现有模型扩展为具有干扰的再保险复合Poisson风险模型。伦mar伯格不等式和破产概率的通用公式是从mar理论中得到的一些技术。

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来源
《The proceedings of 2010 international conference on probability and statistics of the International Institute for General Systems Studies.;vol. 1.;Advances on probability and statistics》|2010年|p.5-8|共4页
会议地点 Nanjing(CN);Nanjing(CN)
作者
Fanliang Kong; Xiangbing Kong;
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作者单位

Department of Mathematics, Harbin University of Science and Technology, Harbin 150080, P.R.China;

Department of Mathematics, Harbin University of Science and Technology, Harbin 150080, P.R.China;

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会议组织
原文格式 PDF
正文语种 eng
中图分类概率论与数理统计;概率论与数理统计;
关键词
martingale analysis; risk model; reinsurance; ruin probability;

机译：ting分析;风险模型;再保险;破产概率;

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专利

1. Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance [J] . Lin Xu, Minghan Wang, Bin Zhang Journal of inequalities and applications . 2018,第1期

机译：通过投资和再保险在相关风险模型下最小化Lundberg不等式的破产概率
2. On finite-time ruin probabilities in a risk model under quota share reinsurance [J] . Bui Khoi Dam, Nguyen Quang Chung Applied mathematical sciences . 2017,第53a56期

机译：份额份额再保险下风险模型中的有限时间破产概率
3. Ruin probabilities in a finite-horizon risk model with investment and reinsurance [J] . Romera R., Runggaldier W. Journal of Applied Probability . 2012,第4期

机译：具有投资和再保险的有限水平风险模型中的破产概率
4. Martingale Analysis of the Reinsurance Risk Model and its Ruin Probability [C] . Fanliang Kong, Xiangbing Kong International conference on probability and statistics of the International Institute for General Systems Studies . 2010

机译：再保险风险模型的鞅分析及其破产概率
5. A class of bivariate Erlang distributions and ruin probabilities in multivariate risk models. [D] . Groparu-Cojocaru, Ionica. 2013

机译：多元风险模型中的一类二元Erlang分布和破产概率。
6. Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance [O] . Lin Xu, Minghan Wang, Bin Zhang -1

机译：通过投资和再保险在相关风险模型下最小化Lundberg不等式的破产概率
7. Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance [O] . Lin Xu, Minghan Wang, Bin Zhang 2018

机译：通过投资和再保险在相关风险模型下最小化Lundberg不等式的破坏概率

Martingale Analysis of the Reinsurance Risk Model and its Ruin Probability

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