摘要
研究了带利率离散风险模型.在保费收入可以改变的条件下,利用下鞅的收敛性,得到了破产概率的一个上界.在研究过程中允许利率序列是相关的,没有限制其相关的结构,条件一般.本文为风险模型破产概率问题解决提出了一种新思路.
In this paper, the discrete risk model with interest was studied. Under the condition of changing premium, the upbound of ruin probability was obtained by sub-martingale property. The condition of the theorem is very, general. For example, the interest sequence is dependent. Furthermore, the correlation construct of the interest sequence is not limited. A new method was advanced for studying ruin probability of the risk model.
出处
《海南师范大学学报（自然科学版）》
CAS
2008年第3期246-248,共3页
Journal of Hainan Normal University（Natural Science）
基金
河南省教育厅资助项目(200711007)
河南工业大学校基金资助项目(07XJC023)
关键词
随机利率
破产概率
下鞅
上界
stochastic interest
ruin probability
sub-martingale
upbound
