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考虑常利率的二维离散风险模型的破产概率 被引量：2

Bidimensional discrete-time risk model with constant interest
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摘要 考虑一个带常利率的二维离散风险模型.假设两险种的理赔服从二维一阶自回归模型,利用鞅方法导出最终破产概率的Lundberg型不等式及上界.并通过具体数值分析解释了各种不同参数对破产概率上界的影响. Including constant interest effect, a bidimensional discrete time risk model is concerned. Using the martingale technique, the infinite time ruin probability a Lundberg-type inequality and upper bound are obtained. Then some numerical examples are given in order to illustrate the effect of different parameters.
作者 王泉 张奕
机构地区 浙江大学数学系
出处 《浙江大学学报（理学版）》 CAS CSCD 北大核心 2008年第5期501-506,共6页 Journal of Zhejiang University（Science Edition）
关键词 二维离散风险模型 一阶自回归模型 鞅 LUNDBERG不等式 Lundberg上界 FGM连接函数 bidimensional discrete-time risk model first order autoregression model martingale Lundberg-type inequality Lundberg-type upper bound Farlie-Gumbel-Morgenstern link copulas
分类号 O211.6 [理学—概率论与数理统计]
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参考文献11

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二级参考文献10

  • 1沈银芳.一种风险度量与保费定价模式[J].浙江大学学报（理学版）,2004,31(5):494-497. 被引量：3
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浙江大学学报（理学版）
2008年 第5期

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