带利息的Sparre Andersen风险模型破产概率的一个上界

Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest

讨论了带利息的Sparre Andersen风险模型,得到了该模型调节系数所满足的方程,并利用鞅方法推导出该模型最终破产概率的一个上界.

The Sparre Andersen model is modified by the inclusion of interest in the surplus.The equation derived satisfies the adjustment coefficient and the upper bounds for the ultimate ruin probability is obtained by martingale techniques.