ARMA(p,q)利率模型下的破产概率

Ruin probability in ARMA(p,q) stochastic interest rate model

为了更好地研究利率因素对破产概率的影响,利用时间序列理论,建立了ARMA(p,q)利率模型,在此利率模型下,通过积分方程得到了破产概率的上界,并将此上界与AR(1)利率模型下破产概率的上界以及Lundberg上界进行了比较,所得结果推广了古典风险模型的相应结果.

In order to study the effects of the factors like interest rate on the ruin probability, we established an ARMA（p, q ） stochastic interest rate model by applying time series theory. In this interest rate model, the rates of interest are assumed to have an ARMA（p, q） structure.An upper bound of the ruin probabilities is derived from the integral equation. We made a comparison of the this upper bound with that in AR （1） interest rate model and Lundberg upper bound, and the results generalize the corresponding result of the classical risk model.