RISK THEORY IN A STOCHASTIC ECONOMIC-ENVIRONMENT

被引：110

作者：

PAULSEN, J

机构：

[1] Department of Mathematics, University of Bergen

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1993年 / 46卷 / 02期

关键词：

RISK PROCESS; SEMIMARTINGALE; STOCHASTIC DIFFERENTIAL EQUATION; PROCESS WITH STATIONARY INDEPENDENT INCREMENTS; RUIN PROBABILITY; CHARACTERISTIC FUNCTION; MARKOV PROCESS; INTEGRODIFFERENTIAL EQUATION;

D O I：

10.1016/0304-4149(93)90010-2

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We introduce a general model to describe the risk process of an insurance company. This model allows for stochastic rate of return on investments as well as stochastic level of inflation, thus in theory enabling a decision maker to choose between insurance and investment risk. In the first part of the paper we discuss the model in itself and in the second pan the problem of finding the probability of eventual ruin is posed. We obtain some integro-differential equations that in some cases lead us to the exact probability of eventual ruin and in other cases to inequalities. Examples are given showing that stochastic economic factors may have a serious impact on this probability.

引用

页码：327 / 361

页数：35

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