具有任意概率结构随机利率风险模型  

Risk Model with General Distribution Interest

作　　者：李俊海[1] 焦万堂[1] 

机构地区：[1]河南工业大学数学系,河南郑州450001

出　　处：《山西大学学报（自然科学版）》2008年第3期434-437,共4页Journal of Shanxi University(Natural Science Edition)

基　　金：河南省教育厅资助项目(200711007)

摘　　要：研究了带利率风险模型.在保费收入与索赔额的差序列{Zi}和随机折现率序列{Yi}具有相关性的条件下,利用下鞅方法得到了破产概率一个上界.接着,在引理2中证明了定理1的集合D在一定条件下是非空的.最后,在推论2中说明Cai和Dickson(2004)的定理4.1是定理1的一个特殊情况.The risk model with dependent stochastic interest is considered. Assuming that the discount sequence {Yi} and sequence {Zi} are dependent,where Zi is the difference between premium and claim of term i, the upbound of ruin probability is obtained by sub-martingale method. Furthermore ,in lemma 2,we proved that the set D of theorem 1 is non-empty under certain conditions. Finally,in deduction 2,we show that the main result of Theorem 4.1 in Cai and Dickson （2004） is a special case of theorem 1.

关 键 词：相关随机利率 破产概率 下鞅 上界 

分 类 号：O211.3[理学—概率论与数理统计]