利率具有二阶自回归相依结构情形下的破产概率  

Ruin probability under interest rates with autoregressivestructure of order 2

作　　者：苏锦霞[1] 赵学靖[1] 李效虎[1] 

机构地区：[1]兰州大学数学系,甘肃兰州730000

出　　处：《兰州大学学报（自然科学版）》2004年第4期1-4,共4页Journal of Lanzhou University(Natural Sciences)

基　　金：国家自然科学基金青年基金(10201010);数学天元青年基金(10126014)资助项目

摘　　要：在利率具有二阶自回归相依结构的假设下,研究了一类破产概率上界的估计问题.通过积分方程导出了破产概率的上界,所得结果部分地推广了古典风险模型及现有的部分结果.This article investigates the ruin probability under the assumption that the rate of interest is dependent upon the second autoregressive structure. A lower upper bound of the ruin probability is derived from the related integrate equation, which showed that the bound established is no smaller than that in the classical risk model.

关 键 词：破产概率 上界 二阶自回归相依模型 

分 类 号：O211.5[理学—概率论与数理统计]