Cox Risk Model And Its Application In Reinsurance

Risk theory studies mainly the stochastic risk model of insurance Actuality. Not only it is a important embranchment of application mathematics in modern, but also a hot topic in the present actuarial science research. In this paper we mainly discuss the Cox risk model of multiple line risk with disturbance and the application in reinsurance. The main work of this paper is as follow:(1) The chapter introduces the evolutional course and actuality of risk model, expounds the direction, content and significance of this thesis, introduces the classical risk model and the Cox risk model and its extension.(2) The chapter discusses the Cox risk model of multiple line risk with disturbance in detail. The supper bound for ruin probability is obtained with martingale approach. The Lundberg exponent is discussed. Finally, the ruin probability is given in special circumstances, then corresponding law is derived.(3) The chapter introduces the knowledge about reinsurance, establishes the Cox reinsurance risk model, takes the Cox risk model of the percentage of reinsurance and the excess of loss reinsurance for example to discuss, then promotes the Lundberg inequality.