The Research On Ruin Probability And Optimal Investment In Risk Model

With the advancement of science and technology and the progress of the times,people's awareness in all aspects has been constantly enhanced and people are gradually paying attention to risk theory.As an important part of the theory of risk,the theory of bankruptcy gradually attracts people's attention.Insurance companies have been studying the theory of bankruptcy for a long time,but also made a lot of valuable research results,and people are still continuing to explore this.Insurers also reduce their own risk while maximizing profits,so the conclusion about the probability of bankruptcy and the research on the optimal investment strategy.It also provides a basis for the supervisory departments to make effective judgments in monitoring the ability of the counterparts to take risks and enables the company to develop in a scientific,stable and orderly manner.In order to make the development of the insurance company stable,the conclusion about the probability of bankruptcy further consummates,this article has done the following main work.This article is divided into five chapters.The first chapter mainly introduces the background and development history of risk theory,the related contributions made by previous scholars,and the chapters arrangements.The second chapter preliminaries mainly introduces the related concepts that may be used in this paper,Poisson process and compound Poisson process,ruin probability conclusion,adjustment coefficient and other basic knowledge;In the third chapter,the adjustment coefficients of the risk models with or without disruption are compared.Under the same expected earnings,the adjustment coefficients of the disrupted risk models are smaller than those of the unperturbed risk models.Chapter 4 focuses on reinsurance and optimal investment under stochastic interest rates.The optimal reinsurance investment under the stochastic interest rate mainly refers to the study of the insurance companies that have promotion budgets,and studies under the constant interest rate fluctuation model;Chapter V Life Insurance and Optimal Investment with Increasing Stochastic Interest Rates.The paper studies the life insurance with increasing interest rate and the optimal investment strategy by comparing the stochastic interest rate with the fixed interest rate.