正跳的Lévy过程的极值分布与不破产概率关系模型  

The model of research for the relations between the extreme distribution for the Lévy processes with positive jumping and the probability of non-bankruptcy

作　　者：熊晓龙[1] 钟满田[2] 

机构地区：[1]武汉工程大学理学院,湖北武汉430074 [2]成都理工大学信息管理学院,四川成都610059

出　　处：《武汉工程大学学报》2007年第2期88-91,共4页Journal of Wuhan Institute of Technology

摘　　要：根据概率统计学和经济学理论,利用风险分析中的破产概率与带正跳的Lévy过程的一类极值分布间的关系,求得该极值分布的表达式,进而建立带正跳的Lévy过程与不破产概率模型,通过计算机仿真模拟,得到的结果较为符合实际.The extreme distribution for the Lévy processes with positive jumping are given by the relations of the extreme distribution and ruin probability. Based on the probability statistics and the economics, the paper seeks the expression of the extreme distribution, and establishes the research model of the relation between the extreme distribution for the Lévy processes with positive jumping and the probability of non - bankruptcy. The simulative results of computer imitating and simulating are quite consistent with fact.

关 键 词：带正跳的Lévy过程 POISSON过程 不破产概率 分布函数 

分 类 号：O211.6[理学—概率论与数理统计]