带连续变利率风险模型最终破产概率上界  

Upper Bounds for Ultimate Ruin Probabilities in the Risk Model with Continuous Increasing Variable Interest

作　　者：王芝皓 吴黎军[2] 

机构地区：[1]新疆财经大学统计与信息学院,新疆乌鲁木齐830012 [2]新疆大学数学与系统科学学院,新疆乌鲁木齐830046

出　　处：《经济数学》2015年第1期95-98,共4页Journal of Quantitative Economics

基　　金：国家自然科学基金资助项目(11361058)

摘　　要：考虑了带二元连续变利息力的Sparre Andersen风险模型.研究了积累值盈余过程的表达式与性质;在利率递增环境下,利用推广后的调节系数方程组与递归技术推导了最终破产概率的上界,结论表明得到的破产概率上界是更为一般的Lundberg指数上界.We consider the Sparre Andersen Model modified by the inclusion of a binary continuous variable interest force.The properties and presentation of accumulated surplus process are studied,the upper bounds for the ultimate ruin probabilities are derived by recursive techniques and adjustment coefficient equation system in increasing interest environment.The conclusion we derived is also a generalization of Lundberg-type upper bounds.

关 键 词：二元变利息力 SPARRE Andersen模型 最终破产概率 调节系数方程组 Lundberg上界 

分 类 号：O211.6[理学—概率论与数理统计] F222.3[理学—数学]