【摘要】：本文主要研究破產(chǎn)概率下,最小初始資本與費(fèi)率間的關(guān)系。首先,介紹了破產(chǎn)概率的產(chǎn)生背景和發(fā)展現(xiàn)狀,說(shuō)明研究該問(wèn)題的現(xiàn)實(shí)意義及本文的主要思想和大致思路;其次,對(duì)C-L經(jīng)典破產(chǎn)概率模型中的基本概念、性質(zhì)及重要結(jié)論進(jìn)行簡(jiǎn)單的介紹,為下面的研究奠定理論基礎(chǔ);再次,對(duì)所研究問(wèn)題中的兩大模塊——最小初始資本和費(fèi)率分別進(jìn)行探究,證明最小初始資本的存在性,以及在費(fèi)率臨界點(diǎn)處初始資本的情況,且在研究過(guò)程中給出一些重要結(jié)論的證明;最后,在綜述了前人理論成果的基礎(chǔ)上,通過(guò)對(duì)歷史數(shù)據(jù)的研究得到索賠額的分布,并利用數(shù)值模擬的方法得出最小初始資本和費(fèi)率間的關(guān)系,并應(yīng)用到實(shí)際問(wèn)題中。
[Abstract]:This paper mainly studies the relationship between minimum initial capital and rate under ruin probability. First of all, it introduces the background and development of bankruptcy probability, explains the practical significance of studying the problem and the main ideas and general ideas of this paper. Secondly, the basic concepts, properties and important conclusions of C-L classical ruin probability model are briefly introduced, which lays a theoretical foundation for the following research; Thirdly, this paper explores the two modules of the research, the minimum initial capital and the rate, to prove the existence of the minimum initial capital and the initial capital at the critical point of the rate. And some important conclusions are proved in the course of the research. Finally, on the basis of summarizing the previous theoretical achievements, the distribution of claim amount is obtained through the study of historical data, and the relationship between minimum initial capital and rate is obtained by numerical simulation, and applied to practical problems.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F840;F224

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本文編號(hào)：2304455