一类相依风险模型破产概率上界的数值分析  

The Numerical Analysis of the Ruin Probability upper of a Dependent Risk Model

作　　者：乔克林[1] 刘凤凤[1] 赵阳[1] 

机构地区：[1]延安大学数学与计算机科学学院,延安716000

出　　处：《科学技术与工程》2012年第32期8614-8616,8621,共4页Science Technology and Engineering

基　　金：陕西省教育厅自然科学基金(2010JK914);延安大学教改项目(YDJG10-02)资助

摘　　要：研究了一类带干扰相依风险模型的破产概率。对此模型的各种具体分布进行假定,给出了调节系数满足的具体方程式。针对此模型对其破产概率上界进行数值模拟,并给出随着相依系数,干扰系数的变化对破产概率上界的影响。Aim to research the probability of a band interference dependent risk model, the specific equation that adjustment coefficient meet is given through assuming the various specific distribution. Based on this model, the upper bound of its ruin probability is simulated, also the effect of the changes of interference coefficient and dependent coefficient on the upper bound for ruin probability is given.

关 键 词：相依系数 干扰系数 破产概率 数值模拟 

分 类 号：O212[理学—概率论与数理统计]