保费依赖向后重现时间过程风险模型的破产概率上界(英文)  

Upper Bounds for the Ruin Probability in a Risk Model With Interest Whose Premiums Depend on the Backward Recurrence Time Process

作　　者：何敬民[1] 吴荣[2] 崔家峰[3] 

机构地区：[1]天津理工大学理学院,天津300384 [2]南开大学数学科学学院,天津300071 [3]天津科技大学理学院,天津300222

出　　处：《数学进展》2011年第4期501-511,共11页Advances in Mathematics（China）

基　　金：Supported by NSFC(No.10901086,No.10871102);National Basic Research Program of China(973 Program,No.2007CB814905);the Research Fund for the Doctorial Program of Higher Education

摘　　要：本文研究带利率的风险模型,它的索赔计数过程是一个更新计数过程,保费收入依赖于向后重现时间过程.通过鞅方法和递推技术,得到破产概率的两个指数型上界.最后,还研究了几个具体的例子,并且给出上界的数量比较.In the present paper, we investigate a risk model with interest, in which the claim counting process is a renewal counting process and premiums depend on the backward recurrence time process. We derive two exponential type upper bounds for the ruin probability by martingale methods and recursive techniques. Finally, we study several special cases and get numerical comparisons of upper bounds.

关 键 词：向后重现时间过程 最终破产概率 上鞅 最优停时定理 

分 类 号：O211.6[理学—概率论与数理统计] F840[理学—数学]