Investigation On Ruin Probability And Securitization Of Insurance Risk

Risk theory is an important branch of modern mathematics, which is mainly applied in finance, insurance, securities investment and the risk management. Nowadays, the collective risk theory is one of the most intriguing fields both in actuarial and mathematical science.The paper focuses on the ruin probabilities of risk model under several types of circumstances where claim is lodged and the securitization of insurance risk.The paper consists of five chapters. Chapter 1 introduces the developme -nt and the state of art of the insurance ruin theory and securitization of insurance risk. On the basis of the classical risk model, some new research areas are presented. At the same time, research methods, important findings and innovative points are given as well.In Chapter 2, according to the classical risk model proposed by Cramèr- Lundberg, the explicit solution of the ultimate ruin probability of the claims having mixed exponential distribution ( k = 2) is extended to the situation where the claims have general mixed exponential distribution ( k = n).Chapter 3 investigates asympototic ruin probabilities of the delayed renewal risk model with heavy-tailed claims, and also revises a pitfall relations -hip in the formula derivation of the 53rd literature.In Chapter 4, a discrete time risk model with investment return is studied. An asympototica for the finite time ruin probability under subexponent -ial loss is obtained by the inductive method, which is a beneficial extension to the results of Tang and Tsitsiashvili.In Chapter 5, since our country is highly vulnerable to catastrophe, the need and feasibility of implementing the securitization of insurance risk is investigated, and some reasonable suggestions are proposed as well.