一类推广的带干扰风险模型的条件破产概率

摘要

This paper intends to extend risk model with disturbance by using random time transformation firstly, and then study the conditional ruin probability of the risk model. It is suggested that the conditional ruin probability has more superiority to the unconditional ruin probability, and is more helpful for insurance company to adjust investment and management strategy timely.%本文首先利用随机时刻变换推广了一类带干扰的风险模型,然后讨论这类风险模型的条件破产概率.研究表明条件破产概率相对于无条件破产概率能提供更多有用信息,这对保险公司及时调整投资和管理策略是很有帮助的.