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带利率的特殊双险种风险模型的破产概率 被引量：12

THE RUIN PROBABILITIES OF A SPECIAL DOUBLE TYPE-INSURANCE RISK MODEL WITH INTEREST
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摘要 研究了保费为一复合随机过程且含利率因素的特殊双险种风险模型,给出了此模型下保险公司稳定经营的必要条件;证明了调节系数的存在性;用鞅方法讨论了此模型的破产概率上界. A special double type-insurance risk model with interest and whose premium is a compound stochastic process was discussed.The necessary conditions of the insurance company s stable managemen were given.The existance of this model s adjustment coefficient was proved.The upper bounds of the ruin probabilities was discussed by using martingales method.
作者 乔克林 李粉香 任芳玲
机构地区 延安大学数学与计算机科学学院
出处 《经济数学》 北大核心 2009年第4期84-90,共7页 Journal of Quantitative Economics
基金 陕西省教育厅专项科研基金资助项目(06JK152)
关键词 利率 破产概率 鞅方法 双险种 interest ruin probabilities martingales method double type-insurance
分类号 F224 [经济管理—国民经济]
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  • 10Resnick, S.I., Willekens, E. Moving averages with random coefficients and random coefficient autoregressive models. Comm. Statist. Stochastic Models, 7(4): 511=525 (1991).

共引文献12

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二级引证文献13

经济数学
2009年 第4期

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