journal6 ›› 2007, Vol. 28 ›› Issue (3): 35-39.

• 数学 • 上一篇    下一篇

一类风险模型破产概率上界估计及随机分析

  

  1. (1.曲靖师范学院数学系,云南 曲靖 655011;2.云南大学数学与统计学院,云南  昆明 650091)
  • 出版日期:2007-05-25 发布日期:2012-08-27
  • 作者简介:钟朝艳(1970-),女,云南呈贡人,曲靖师范学院数学系讲师,硕士,主要从事金融数学研究;何树红(1966-),男,云南玉溪人,云南大学数学与统计学院教授,博士,主要从事金融数学研究.

Analysis of Stochastic and Estimation of Upper Bound for Ruin Probability of a Risk Model

  1. (1.Mathematics Department,Qujing Normal University,Qujing 655011,Yunnan China;2.Mathematics and Statistics College,Yunnan University,Kunming 650091,Yunnan China)
  • Online:2007-05-25 Published:2012-08-27

摘要:在利率具有二阶自回归相依结构的假设下,研究了一类考虑保费、理赔支付时间的离散时间风险模型的破产概率上界的估计,通过鞅方法导出了破产概率的上界,并与经典离散时间风险模型导出的破产概率上界作了比较和随机模拟分析.

关键词: 离散时间风险模型, 二阶自回归相依结构, 破产概率, 上界, 随机模拟

Abstract: This paper investigates the estimation of upper bound for ruin probability of a discrete time risk mode under the assumption that the rate interest is dependent upon the second autoregressive-correlation structure.By using the martingale methods,the upper bound of ruin probability is obtained.And then it compares the upper bound for ruin probability of the classical discrete risk model and of the model above.Finally,the analysis of stochastic simulation for the upper bound of ruin probability and for ruin probability are gained.

Key words: discrete time risk model, autoregressive-correlation structure of order 2, ruin probability, upper bound, stochastic simulation

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