具有投资收益的随机保费风险模型破产概率的非指数型上界  

Non-exponential Upper Bounds of Ruin Probability for Stochastic Premium Risk Model with Investment Income

作　　者：高彦伟[1] 申川[1] 程建华[1] 

机构地区：[1]吉林大学数学学院,长春130012

出　　处：《吉林大学学报（理学版）》2017年第6期1345-1351,共7页Journal of Jilin University:Science Edition

基　　金：国家自然科学基金(批准号:11501241);吉林省青年科研基金(批准号:20150520053JH);吉林省教育厅"十二五"科学技术研究项目(批准号:吉教科合字[2014]第B020号)

摘　　要：考虑一类具有投资收益的随机保费风险模型,假设市场的利率过程是一个非负Lévy过程,分别用鞅方法和归纳法得到了破产概率满足的非指数型上界,并给出一些数值模拟说明非指数型上界的优越性.We considered a class of stochastic premium risk model with investment income,and assumed that the interest rate process was a non-negative Lévy process.We obtained non-exponential upper bounds of the ruin probability by martingale and inductive approaches,respectively,and gave some numerical simulations to illustrate the advantage of the non-exponential upper bounds.

关 键 词：随机利率 随机保费 破产概率 非指数型上界 

分 类 号：O211.9[理学—概率论与数理统计]