Research On Risk Problems In Insurance Company And Commercial Bank

The risk problems in the the credit creation organization have been increasingly emphasized on research, especially insurance company and commercial bank. Starting with risk problem of the credit creation organizations, this article builds a set of models to solve problems on the risk involving the two mainstays of credit creation organization: insurance company, commercial bank. The mathematic methods used in the models include probability, statistics, stochastic process, measure theory and so on. Further more, the respective forecast warning index systems for inner control of every corresponding credit creation organization are presented, which act in accord with recent polices of many industries.The first chapter of the paper summarizes the foundation and research background of the risk problems, and the situation of domestic and overseas research on the risk problems. Subsequently, the paper points out the respective correlative risk problem of the delegates of two kinds of credit creation organization:insurance company and commercial bank which confronted,and concludes innovation of the paper.In the second chapter, the general criterion of risk measurement in allusion to the risk problem in the credit creation organization is presented. Moreover,the new general expression of risk measurement is expressed which is based upon the general criterion, combining probability statistics with risk measurement.In the third chapter, the model of insurance risk is presented, which solve the finite ruin probability concerned by the insurance. The paper discusses the ruin problem of a kind of continuous-time risk model with inter-occurrence time obeyed geometric distribution and with claim size obeyed general discrete distribution. Firstly, the risk model is set in the framework of PDMP, and a correlative martingale in virtue of the extended generator with discrete component is gotten. Secondly, the general expressions for ruin probabilities are presented via the change of the probability measure.In the fourth chapter, the new model of insurance risk surplus problem is presented, and the ruin probability and the survival probability are solved. Subsequently, the paper puts forward the definition and characters of the solvency of...