基于AR(1)时间序列的风险模型破产概率研究

数学研究通讯 Pub Date : 2017-10-29 DOI:10.4208/cmr.2020-0053

Wenhao Li, Bo Wang, Tianxiang Shen, Ronghua Zhu, Dehui Wang

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引用次数: 2

摘要

在本文中，我们建立了基于AR（1）序列的风险模型，并提出了在索赔数量强度下具有依赖结构的基本模型。考虑到风险模型的一些性质，我们利用牛顿迭代法来计算调整系数，并估计破产概率的指数上界。这对完善破产理论研究具有重要意义。因此，我们的理论将有助于保险业的稳定发展。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Research on Ruin Probability of RiskModel Based on AR(1) Time Series

In this text, we establish the risk model based on AR(1) series and propose the basic model which has a dependent structure under intensity of claim number. Considering some properties of the risk model, we take advantage of newton iteration method to figure out the adjustment coefficient and estimate the exponential upper bound of ruin probability. This is significant to refine the research of ruin theory. As a result, our theory will help develop insurance industry stably.

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来源期刊

数学研究通讯

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发文量

1035