【摘要】 巨灾风险是目前理论界和保险事务界十分关注的重大问题,如何用数学模型描述巨灾保险经营过程更是其中一个关键性问题,其中运用带干扰的Cramér-Lundberg风险模型描述巨灾保险经营过程是保险理论界比较认同的模型。另外,巨灾所引起的保险索赔分布通常属于重尾分布,比如标准的对数正态分布。在此情形下破产概率的精确表达式一般很难求得,因此破产概率的表达式一般就通过渐近等价估计式进行表达。更多还原

【Abstract】 Now the theory about catastrophe risk is an important problem not only in theory circles but also in insurance routines.How to describe the process of catastrophe insurance through the mathematical model is one of its key topics, among which the process described by Cramér-Lundberg risk model is well known in insurance theory circles.On the other hand,under catastrophe risk the claim distribution belongs to the class of heavy-tailed distribution,e.g.the standard lognormal distribution.In general,it is very difficult to compute its ruin probability under the heavy-tailed distribution,so we have to discuss its asymptotic express.更多还原