利率具有二阶自回归结构的复合二项风险模型

journal6 ›› 2007, Vol. 28 ›› Issue (4): 12-15.

利率具有二阶自回归结构的复合二项风险模型

（盐城工学院基础教学部，江苏盐城 224003）

出版日期:2007-07-25 发布日期:2012-06-15

Compound Binomial Risk Model Under Rates of Interest with Autoregressive Structure of Order 2

(Department of Foundamental Science Teaching,Institute of Technology,Yancheng 224003,Jiangsu China)

Online:2007-07-25 Published:2012-06-15
About author:YANG Shan-bing(1974-),male,was born in Shouxian County,Anhui Province,lecturer,master;research area is economic mathenatics.

摘要/Abstract

摘要：研究了具有利率是二阶自回归结构的复合二项的风险模型,利用递归的方法得到最终破产概率的积分方程,并利用这些方程获得了最终破产概率的上界.

关键词： 风险模型, 利率, 破产概率的上界, 二阶自回归结构

Abstract: The compound binomial risk model under rates of interest with autoregressive structure of order 2 is studied.The integral equations of the ultimate ruin probability are obtained by the recursive method.Upper bound for the ultimate ruin probability is obtained from these equations.

Key words: risk model, rate of interest, upper bound for the ultimate ruin probability, autoregressive structure of order 2

杨善兵, 季红蕾, 朱亚萍. 利率具有二阶自回归结构的复合二项风险模型[J]. journal6, 2007, 28(4): 12-15.

YANG Shan-Bing, JI Hong-Lei, ZHU Ya-Ping. Compound Binomial Risk Model Under Rates of Interest with Autoregressive Structure of Order 2[J]. journal6, 2007, 28(4): 12-15.

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