华东师范大学学报(自然科学版)
華東師範大學學報(自然科學版)
화동사범대학학보(자연과학판)
JOURNAL OF EAST CHINA NORMAL UNIVERSITY(NATURAL SCIENCE)
2007年
1期
70-77
,共8页
更新风险模型%勒维过程%破产概率%鞅方法
更新風險模型%勒維過程%破產概率%鞅方法
경신풍험모형%륵유과정%파산개솔%앙방법
ordinary renewal risk model%Lévy process%ruin probability%martingale
研究了在投资回报过程为指数勒维过程的情形下的更新风险模型的的破产问题.通过构造一个和破产时刻有关的上鞅,得到了终极破产概率的鞅上界,并用数值方法考察了理赔间隔的分布对破产概率的影响.
研究瞭在投資迴報過程為指數勒維過程的情形下的更新風險模型的的破產問題.通過構造一箇和破產時刻有關的上鞅,得到瞭終極破產概率的鞅上界,併用數值方法攷察瞭理賠間隔的分佈對破產概率的影響.
연구료재투자회보과정위지수륵유과정적정형하적경신풍험모형적적파산문제.통과구조일개화파산시각유관적상앙,득도료종겁파산개솔적앙상계,병용수치방법고찰료리배간격적분포대파산개솔적영향.
Ruin problems in the ordinary renewal risk model with stochastic investment were examined. The asset price process of investment ts denoted by {eRt, t ≥ 0}, where Rt time of the surplus process with investment, an upper bound for ultimate ruin probability by martingale approach was presented. The impact of inter-arrival times of claims on ruin probability was considered by numerical method.