本文主要研究内容
作者高忠琴（2019）在《几类变保费Omega风险模型的相关问题研究》一文中研究指出：在保险公司的实际经营中,保费的收取受供求关系,市场经济环境等诸多因素的影响,具有多样性和复杂性,因此在风险模型的研究中只考虑单一保费具有一定的局限性.同时,在经典风险模型的研究中,通常假设保险公司在资产盈余为负值时就会破产,并且停止经营.近几年,随着世界金融业的发展,保险公司在资金方面的运用率和开放度都越来越高,使得在对保险风险理论进行研究时不能再局限于经典风险模型中一般意义的破产概念上.为了有效的帮助保险公司防范和管控风险,并提高公司的竞争能力,本文克服了单一保费的缺陷和一般意义的破产概念的局限性,将经典风险模型中固定保费收入的情况推广为依赖于当前资产盈余的变保费,并区分破产(即资产为负值)和倒闭(即停止营业)的概念,在不同随机过程下建立了变保费Omega风险模型,进行研究.本论文研究内容的结构安排如下.第一章中,首先介绍风险模型的研究背景及国内外研究概况,包括复合泊松风险模型,带扩散的复合泊松风险模型和Omega模型.其次,介绍Gerber-Shiu期望折现罚函数,倒闭概率等一些常见的精算变量及分红策略和期望折现分红函数.最后概述本文的主要研究成果及创新之处.第二章中,研究带三段保费的复合泊松Omega模型的Gerber-Shiu期望折现罚金函数.首先,通过考虑倒闭之前首次索赔是否发生以及首次索赔发生时索赔时刻和索赔额的情况,结合随机过程的强马尔可夫性,得到Gerber-Shiu期望折现罚金函数和倒闭概率满足的积分方程,积分微分方程及边界条件.其次,对Gerber-Shiu期望折现罚金函数和倒闭概率求解.最后,当索赔额服从指数分布,提出具体的数值例子分析保险公司的初始资产和调节保费收入的临界值对Gerber-Shiu期望折现罚金函数和倒闭概率的影响.第三章中,研究带两段保费的带扩散复合泊松Omega模型的Gerber-Shiu期望折现罚金函数.首先,利用强马尔可夫性推导出Gerber-Shiu期望折现罚金函数和倒闭概率满足的积分微分方程及边界条件.其次,当倒闭率函数为常值函数时,给出Gerber-Shiu期望折现罚金函数满足的更新方程,并通过迭代法推导出其封闭形式的解.更进一步地,当索赔额服从指数分布时,获得Gerber-Shiu期望折现罚金函数的显性表达式.最后,应用数学及计算机技术的量化研究方式,提出具体的数值例子分析该模型中不同的参数对Gerber-Shiu期望折现罚金函数和倒闭概率的影响.第四章中,研究带两段保费的带扩散复合泊松Omega模型的分红问题.首先,利用强马尔可夫性推导出期望折现分红函数和Gerber-Shiu期望折现罚金函数满足的积分微分方程及边界条件.其次,当倒闭率函数为常值函数时,得到期望折现分红函数和Gerber-Shiu期望折现罚金函数满足的更新方程,并通过迭代法分别推导出其封闭形式的解.更进一步地,当索赔额服从指数分布时,得到这两个函数的显性表达式.最后,通过具体的数值例子分析该模型中不同的参数对期望折现分红总量和Gerber-Shiu期望折现罚金函数的影响.
Abstract
zai bao xian gong si de shi ji jing ying zhong ,bao fei de shou qu shou gong qiu guan ji ,shi chang jing ji huan jing deng zhu duo yin su de ying xiang ,ju you duo yang xing he fu za xing ,yin ci zai feng xian mo xing de yan jiu zhong zhi kao lv chan yi bao fei ju you yi ding de ju xian xing .tong shi ,zai jing dian feng xian mo xing de yan jiu zhong ,tong chang jia she bao xian gong si zai zi chan ying yu wei fu zhi shi jiu hui po chan ,bing ju ting zhi jing ying .jin ji nian ,sui zhao shi jie jin rong ye de fa zhan ,bao xian gong si zai zi jin fang mian de yun yong lv he kai fang du dou yue lai yue gao ,shi de zai dui bao xian feng xian li lun jin hang yan jiu shi bu neng zai ju xian yu jing dian feng xian mo xing zhong yi ban yi yi de po chan gai nian shang .wei le you xiao de bang zhu bao xian gong si fang fan he guan kong feng xian ,bing di gao gong si de jing zheng neng li ,ben wen ke fu le chan yi bao fei de que xian he yi ban yi yi de po chan gai nian de ju xian xing ,jiang jing dian feng xian mo xing zhong gu ding bao fei shou ru de qing kuang tui an wei yi lai yu dang qian zi chan ying yu de bian bao fei ,bing ou fen po chan (ji zi chan wei fu zhi )he dao bi (ji ting zhi ying ye )de gai nian ,zai bu tong sui ji guo cheng xia jian li le bian bao fei Omegafeng xian mo xing ,jin hang yan jiu .ben lun wen yan jiu nei rong de jie gou an pai ru xia .di yi zhang zhong ,shou xian jie shao feng xian mo xing de yan jiu bei jing ji guo nei wai yan jiu gai kuang ,bao gua fu ge bo song feng xian mo xing ,dai kuo san de fu ge bo song feng xian mo xing he Omegamo xing .ji ci ,jie shao Gerber-Shiuji wang she xian fa han shu ,dao bi gai lv deng yi xie chang jian de jing suan bian liang ji fen gong ce lve he ji wang she xian fen gong han shu .zui hou gai shu ben wen de zhu yao yan jiu cheng guo ji chuang xin zhi chu .di er zhang zhong ,yan jiu dai san duan bao fei de fu ge bo song Omegamo xing de Gerber-Shiuji wang she xian fa jin han shu .shou xian ,tong guo kao lv dao bi zhi qian shou ci suo pei shi fou fa sheng yi ji shou ci suo pei fa sheng shi suo pei shi ke he suo pei e de qing kuang ,jie ge sui ji guo cheng de jiang ma er ke fu xing ,de dao Gerber-Shiuji wang she xian fa jin han shu he dao bi gai lv man zu de ji fen fang cheng ,ji fen wei fen fang cheng ji bian jie tiao jian .ji ci ,dui Gerber-Shiuji wang she xian fa jin han shu he dao bi gai lv qiu jie .zui hou ,dang suo pei e fu cong zhi shu fen bu ,di chu ju ti de shu zhi li zi fen xi bao xian gong si de chu shi zi chan he diao jie bao fei shou ru de lin jie zhi dui Gerber-Shiuji wang she xian fa jin han shu he dao bi gai lv de ying xiang .di san zhang zhong ,yan jiu dai liang duan bao fei de dai kuo san fu ge bo song Omegamo xing de Gerber-Shiuji wang she xian fa jin han shu .shou xian ,li yong jiang ma er ke fu xing tui dao chu Gerber-Shiuji wang she xian fa jin han shu he dao bi gai lv man zu de ji fen wei fen fang cheng ji bian jie tiao jian .ji ci ,dang dao bi lv han shu wei chang zhi han shu shi ,gei chu Gerber-Shiuji wang she xian fa jin han shu man zu de geng xin fang cheng ,bing tong guo die dai fa tui dao chu ji feng bi xing shi de jie .geng jin yi bu de ,dang suo pei e fu cong zhi shu fen bu shi ,huo de Gerber-Shiuji wang she xian fa jin han shu de xian xing biao da shi .zui hou ,ying yong shu xue ji ji suan ji ji shu de liang hua yan jiu fang shi ,di chu ju ti de shu zhi li zi fen xi gai mo xing zhong bu tong de can shu dui Gerber-Shiuji wang she xian fa jin han shu he dao bi gai lv de ying xiang .di si zhang zhong ,yan jiu dai liang duan bao fei de dai kuo san fu ge bo song Omegamo xing de fen gong wen ti .shou xian ,li yong jiang ma er ke fu xing tui dao chu ji wang she xian fen gong han shu he Gerber-Shiuji wang she xian fa jin han shu man zu de ji fen wei fen fang cheng ji bian jie tiao jian .ji ci ,dang dao bi lv han shu wei chang zhi han shu shi ,de dao ji wang she xian fen gong han shu he Gerber-Shiuji wang she xian fa jin han shu man zu de geng xin fang cheng ,bing tong guo die dai fa fen bie tui dao chu ji feng bi xing shi de jie .geng jin yi bu de ,dang suo pei e fu cong zhi shu fen bu shi ,de dao zhe liang ge han shu de xian xing biao da shi .zui hou ,tong guo ju ti de shu zhi li zi fen xi gai mo xing zhong bu tong de can shu dui ji wang she xian fen gong zong liang he Gerber-Shiuji wang she xian fa jin han shu de ying xiang .
论文参考文献
论文详细介绍
论文作者分别是来自天津理工大学的高忠琴，发表于刊物天津理工大学2019-07-16论文，是一篇关于模型论文,复合泊松风险模型论文,期望折现罚金函数论文,倒闭概率论文,期望折现分红函数论文,天津理工大学2019-07-16论文的文章。本文可供学术参考使用，各位学者可以免费参考阅读下载，文章观点不代表本站观点，资料来自天津理工大学2019-07-16论文网站，若本站收录的文献无意侵犯了您的著作版权，请联系我们删除。
标签：模型论文; 复合泊松风险模型论文; 期望折现罚金函数论文; 倒闭概率论文; 期望折现分红函数论文; 天津理工大学2019-07-16论文;