具扩散项的带免赔额的Erlang(2)问题的破产概率

本文从具有扩散项的模型出发,最终在个体理赔额服从Erlang(2)分布情形下利用解高阶微分-差分方程和鞅的办法得到了与免赔额d有关的原、再保的相应破产概率ψ(u)以及调节系数的表达公式。所得结果不仅仅直接的推广了文献7]的相关结论,尤其在再保险的场合下研究该模型的文献还不多见,而且在保险资金可以入市的经济背景下也是具有现实意义的。

Some Results for Ruin Probability of Stop-Loss Reinsurance with Diffusion and Erlang(2)

This paper researches ruin probabilities of insurance company and reinsurance company with diffusion terms. Under the assumptions that the claim has an Erlang (2) distribution,the relationship between deductible and the corresponding ruin probabilities is obtained The results not only extend Francois and Gerber's corresponding results for classical Cramer-Lundberg risk model,but also have the actual value on the background of revenues of insurance company having the rights to purchase risky assets.