摘要
将盈余过程推广为跳-扩散模型,同时假设利率服从扩散过程,并在随机利率下运用二维Ito公式以及鞅方法研究破产概率的推断问题,最后得到了破产概率满足的一个二阶偏微分方程.
The reserve process was deduced to a jump-diffusion model, and it is supposed that interest rate to a stochastic process satisfied diffusion model, Using the spread Ito formula and martingale, the inference problem of ruin probability was researched under stochastic interest rate. A second-order partial differential equation which satisfied by the ruin probability is obtained.
出处
《西安工程大学学报》
CAS
2008年第3期362-365,共4页
Journal of Xi’an Polytechnic University
基金
陕西省教育厅自然科学基金资助项目(07KJ252)
关键词
破产概率
随机利率
盈余过程
跳-扩散模型
鞅
ruin probability
stochastic interest rate
reserve process
jump-diffusion model
martingale
