摘要
引入基本负风险模型,通过分析其最终破产概率所满足的泛函方程证明破产概率所满足的Lundberg不等式,该模型中采用指数效用原理所得到的单位时间的支出c与一般情形下所得到的c相同;研究同时含有正、负两类风险过程的风险模型,获得系列性质及其破产概率所满足的表达式.
By introducing basic negative risk model, the Lundberg inequality satisfied by the ruin probability was verified by means of analyzing the functional equation satisfied by the ultimate ruin probability. Furthermore, the identity of the expenditure c per unit time obtained with exponential principle with that obtained in the general cases was concluded. A risk model which included both the positive and negative risk processes was studied and a series of properties and expressions for evaluation of ruin probability were obtained.
出处
《兰州理工大学学报》
CAS
北大核心
2010年第1期158-161,共4页
Journal of Lanzhou University of Technology
基金
甘肃省自然科学基金(0809RJZA019)
甘肃省高校研究生导师科研基金(0703-10)
关键词
正
负风险过程
指数效用原理
LUNDBERG不等式
破产概率
positive and negative risk process
exponential effect principle
Lundberg inequality
ruin probability
