【作者】 张瑜；

【导师】 吴黎军；

【作者基本信息】 新疆大学 ， 概率论与数理统计， 2010， 硕士

【摘要】 风险理论是对保险业所面临的各种风险进行定量分析的理论,在保险理论和实践中具有重要的意义。而破产理论则是风险理论中的重要组成部分和热点,破产理论及相关问题的研究可以作为保险公司一个十分有用的早期风险的警示手段,.因此具有十分重要的理论意义和现实意义。随着保险市场发展的逐步成熟,新产品的不断开发,保险公司竞争日益激烈,经典的破产模型已经不能够满足现代保险业的需要,应对实际情况，许多作者对经典的破产模型进行了一系列改进。经典的风险模型没有考虑到利率的影响,在实际操作中,保险公司的大部分盈余来自于投资的收入一所以带利率的风险模型得到了广泛的研究。本文在前人研究的常利率风险模型的基础上,在假设利息力满足Logistic模型的前提下,提出变利率的风险模型,并且得出在此情况下变利率破产概率与常利率破产概率的关系。更多还原

【Abstract】 Risk theory is the quantitative theory that analysis various risks that insurance com-panies confront.It is considerable important for insurance theory and practice, and the ruin theory is the important part and hotspot area in risk theory. As can supply a very usefull early-warning measure for the risk of the insurance company, the supply of the ruin theory and relative question has important theoretical and practical significance for the insurance company.With the development of insurance market and the explosion of the new products, the competition of insurance company is more and more intense. The classical risk model has can not satisfy the requirement of the modern insurance. For answering readily the practice, more and more authors present a series of improvement to the classical risk model. In the classical risk theory, it is often assumed that there is no investment income. However, as we know, a large portion of the surplus of the insurance companies comes from investment income. So in resent years,the risk models with interest rate have been researched widely.In this article,on the base of the risk model with constant interest,we assumed the interest force satisfied Logistic model,and put forward the risk model with vary interest.With this hypothesis, we get the relationship between ruin probability in the vary interest model and that in the constant model.更多还原