摘要
研究带有相关随机利率的双二项风险模型,得到了破产概率的积分表达式,并利用鞅分析的方法得到了破产概率的经典Lundberg上界,另外给出了一个破产概率的比经典Lundberg上界更精确的上界.
This paper explore the double binomial risk model with dependent ran- dom interest rates,and study the problems of ruin probability with emphasis,an integral expression of ruin probability is obtained as well as classical Lundberg upper bound for ruin probabilty.In additional,get another preeiser upper bound than classical Lundberg upper bound.
出处
《应用数学与计算数学学报》
2007年第2期121-128,共8页
Communication on Applied Mathematics and Computation
基金
国家自然科学基金(No.60572126)资助
关键词
最终破产概率
线性自回归
LUNDBERG不等式
鞅
the probability of ultimate ruin
liner autoregressive
Lundberg inequation
martingale
