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.
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