經(jīng)典風(fēng)險(xiǎn)過程的推廣及廣義Brownian Sheet的研究.pdf

1、廣西大學(xué)碩士學(xué)位論文經(jīng)典風(fēng)險(xiǎn)過程的推廣及廣義BrownianSheet的研究姓名：羅建華申請(qǐng)學(xué)位級(jí)別：碩士專業(yè)：應(yīng)用數(shù)學(xué)指導(dǎo)教師：方世祖20040501墊竺量￡童叁蘭塑圭堂堡絲圭11THEGENBRALIZJ铘ONOFTHECLASSICALRISKPRDCESSANDTHERESEARCHOFTHEGENERAUZEDBRoWNIANSHEETABSTRACTSincetheclassicalriskmodelWaSestablish

2、edbyLundbergandCramdr，manyscholarshavealreadyimprovedandgeneralizeditandalotofresultswithrespecttotheruinprobabilityhavebeenobtainedInthispaper，basedontheresultswhichhavebeengotten，theclassicalriskmodelisgemeraiizedinBOl

3、eca$es，andthepropertiesoftheirruinpmbabilityarestudiedThefirstgeneralizationisthatthepremiumprocessisgeneralizedfromtimedeterminantfunctiontocompoundPoissonprocessTheintegralrepresentationsofthenonruinpmbabilityarestudie

4、d，thentheLundberginequaiityandthecommonformulatotheruinprobabilityareshownTheexplicitformulaofthenonruinprobabilityisobtainedinthespecialeaseThesecondisthatthepremiumprocessandaggregateclaimprocessaregeneralizedsimultane

5、ouslytothegeneralizedcompoundPoissonprocessontheconditionofdiffnssionperturbingWemaysolvepracti棚problemwhichtherearemorethantwoinsuralicepoliciesandmorethantwoclaimsatthe$axnetimeAlsotheLundberginequalityandthecorunlonfo

6、rmulafortheruinprobabilityholdinourmodelbytheaidofamartingaleapproachWetakeadvantagesufficientlyofthecurrentreferencesresultsinthesecondpartofthethesis(ieChapter3)InrespecttothegeneralizedBrowniansheet，sin—epointM8rkovpm

7、perties，relaxedpastMarkovproperties。relaxedfu噸llreMarkovpropertiesandMarkovpropertiesarediscussedThetransitionprohabilityandforecastingofthegeneralizedBrowniansheetarealsostudiedKEYWORDSriskmodel；compoundPoissonprocess；m