一类风险模型破产概率上界估计及随机分析  

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

作　　者：钟朝艳[1] 何树红[2] 

机构地区：[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　　处：《吉首大学学报（自然科学版）》2007年第3期35-39,共5页Journal of Jishou University(Natural Sciences Edition)

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.This paper investigates the estimation of upper bound for rain 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.

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 

分 类 号：F224.7[经济管理—国民经济]