摘要
用风险理论的方法定量的讨论了开放式投资基金的破产概率,在一些假设条件下用鞅方法得到了破产概率的上界,讨论了引起基金清算的几个因素之间的关系.
In this paper, we discussed the ruin probability of openend fund by risk model. Under some conditions, we derived the super bound of the ruin probability by martingale method. Furthermore, the relationship between the ruin probability and the initial risk capital is discussed.
出处
《华东交通大学学报》
2007年第2期158-160,共3页
Journal of East China Jiaotong University
关键词
开放式基金
风险模型
破产概率
鞅
open - end fund
risk model
ruin probability
martingale
