重庆文理学院学报：自然科学版
重慶文理學院學報：自然科學版
중경문이학원학보：자연과학판
Journal of Chongqing University of Arts and Sciences
2012年
2期
21-24
,共4页
破产概率%赢余过程%随机利率%跳一扩散模型%鞅
破產概率%贏餘過程%隨機利率%跳一擴散模型%鞅
파산개솔%영여과정%수궤리솔%도일확산모형%앙
ruin probability%reserve process%stochastic interest rate%jump - diffusion model%martingale
将保险公司盈余过程推广为跳-扩散过程，同时将资本市场利率由经典的CIR模型推广为跳-扩散模型，利用二维Ito公式及鞅方法推导保险公司的破产概率，得到了破产概率满足的一个二阶偏微分方程．
將保險公司盈餘過程推廣為跳-擴散過程，同時將資本市場利率由經典的CIR模型推廣為跳-擴散模型，利用二維Ito公式及鞅方法推導保險公司的破產概率，得到瞭破產概率滿足的一箇二階偏微分方程．
장보험공사영여과정추엄위도-확산과정，동시장자본시장리솔유경전적CIR모형추엄위도-확산모형，이용이유Ito공식급앙방법추도보험공사적파산개솔，득도료파산개솔만족적일개이계편미분방정．
This paper deduces the reserve process to a jump diffusion process and the interest rate to a jump diffusion model form the classics CIR model. Using the spread Ito formula and martingale, the ruin probability for insurance company was studied. At last a secondorder partial differential equation which satisfied by the ruin probability was obtained.
