The Study Of Ruin Probability In Some Risk Models

This paper research on several kinds of risk model and the improvement of the risk mod-el to the bankruptcy of model is given.Both the method of martingale and recursion are used to make contrast and forcast among several models above. The one which have higher good-ness is used to research on the effect of the related variables of the company on bankruptcy probability of the upper bound bankruptcy. Finally the model will be use for real-life case in order to research on how to low the risk of bankruptcy. This paper includes four chapters:The first chapter summarizes the background of classic risk model and some classic theory of actuaries and achievements in nearly years, and introduces two methods of upper bound for the bankruptcy. Then it brief the value and the content of the paper.The second chapter introduces generalized composite Poisson risk model and expansion of the disturbance and a compound Poisson model, and proves the corresponding ruin proba-bility theory. Then it calculates the upper round of bankruptcy probability of nonhomogene-ous Poisson risk model as well as double compound Poisson risk model. Then it research on the application of these model and makes comparison in order to prove their advantages and disadvantages.Based on positive and negative risk model and the solone negative risk model, the third chapter solves the bankruptcy probability of these two different models.The fourth chapter introduces two kind of update Erlang (2) risk model. Through to two traditional risk probability model methods it solves the bankruptcy probability of two up-date risk model, then introduces general Erlang (n) bankrupcy probability problems and solves the proof of Erlang (n) and generalized Erlang (n) of the fine function and bankrupcy probability. Finally we get the upper bound of Erlang (2) bankruptcy. The article finally make the case study, and come to the conclusion that the prevention of interest rate risk and close attention to national economic trends and bank policy is to reduce insurance company man-agement risk effective safeguard; Reasonable merger and acquisition is the effective way of lower insurance company management risk. In a word, the recursion method is superior to martingale method. But the research on bankruptcy in both ways are better than Lundberg upper bound。...