带利率与红利边界的风险模型的破产概率的上界  

Upper Bounds for Ultimate Ruin Probabilities in the Sparre Andersen Risk Model with Interest and a Linear Dividend Barrier Included

作　　者：杨文权[1] 

机构地区：[1]江汉大学数学与计算机科学学院,湖北武汉430056

出　　处：《湖北民族学院学报（自然科学版）》2010年第2期121-123,127,共4页Journal of Hubei Minzu University(Natural Science Edition)

基　　金：湖北省教育厅重点科学研究项目(2004X124)

摘　　要：研究了带常数利息和线性红利边界的古典风险模型,得到破产概率的上界.该结果是有线性红利边界而无利息的古典风险模型的推广.We consider the classical risk model with constant force of interest and a linear dividend barrier.Upper bounds for the ultimate ruin probabilities are derived.The results obtained carry over those of Gerber（1979） about linear dividend barrier without interest to the case where both interest and a linear dividend barrier are involved.

关 键 词：利息力 红利边界 POISSON过程 破产概率 

分 类 号：O211.4[理学—概率论与数理统计]