Abstract: Pursuing maximum profit and minimum risk is the goal during the operation of insurance companies. Ruin probability is the foundation while making risk decisions. Based on the compound Pascal model with two dividends, random interest and varying premium rate, which varies with the surplus level of company, this paper deals with finite time ruin probability of a joint stock insurance company. We have proved the homogeneous Markov property of the surplus process, and given the recursive formulas for finite time ruin probability. Numerical examples have also been provided at last.

Key words: probability theory and mathematical statistics, finite time ruin probability, homogeneous Markov property, compound Pascal model, dividends

摘要： 利润最大化风险最小化是保险公司运营所追求的目标,破产概率为公司进行风险决策提供了依据。本文基于随机利率环境下,保费随公司盈余水平调整的双分红复合帕斯卡模型,研究了股份制保险公司的有限时间破产概率。我们证明了公司盈余过程的齐次马氏性,得到了有限时间破产概率的计算方法,最后给出了具体算例。

关键词: 概率论与数理统计, 有限时间破产概率, 齐次马氏性, 复合帕斯卡模型, 双分红