一类离散时间风险模型破产概率上界的估计

Estimation of Upper Bound for Ruin Probability of a Discrete Time Risk Model

通过鞅方法导出一类利率具有一阶自回归相依结构的离散时间风险模型的破产概率的上界,进一步证明了所导出上界优于经典模型导出的上界,显示了利率对破产概率上界的影响,即利率的存在降低了破产的概率.

In this paper, by using martingale methods we derives the upper bound of rain probability for a disctect time risk model under the assumption that the interest rates have autoregressive - correlation struction, and proves that it is better than the upper bound of classical risk model. The result shows interest rates＇ effect on the upper bound of rain probability, and the existence of interest rates that reduce the rain probability.