摘要
研究了保费收入为ct^β，且索赔由分数布朗运动（自相似参数H〉1／2）所模拟的一类特殊的风险模型的破产概率．通过测度变换，得到了无限时间的破产概率．最后利用分数布朗运动是高斯过程这一性质，给出了有限时间破产概率的上下界及极限定理．
It＇s studied that the ruin probability of special risk model, whose claim processes is modeled by a fractional Brownian motion （with self-similar parameter H〉1/2）, and the corresponding premium is ct^β. By measure transformation, an infinite time ruin probability is obtained. Finally, by the property which the fractional Brownian motion is a Gaussian process, the upper and lower bounds of ruin probability as well as limit theorem are given.
出处
《南开大学学报（自然科学版）》
CAS
CSCD
北大核心
2009年第5期32-37,共6页
Acta Scientiarum Naturalium Universitatis Nankaiensis
基金
国家青年自然科学基金(10901086)
国家重点基础研究发展计划(973计划)(2007CB814905)
关键词
分数布朗运动
自相似过程
破产概率
鞅
fractional Brownian motion
self-similar processes
ruin probability
martingale
