摘要
将保险公司盈余过程推广为跳-扩散过程,同时将资本市场利率由经典的CIR模型推广为跳-扩散模型,利用二维Ito公式及鞅方法推导保险公司的破产概率,得到了破产概率满足的一个二阶偏微分方程.
This paper deduces the reserve process to a jump diffusion process and the interest rate to a jump diffusion model form the classics CIR model. Using the spread Ito formula and martingale, the ruin probability for insurance company was studied. At last a secondorder partial differential equation which satisfied by the ruin probability was obtained.
出处
《重庆文理学院学报（自然科学版）》
2012年第2期21-24,共4页
Journal of Chongqing University of Arts and Sciences
关键词
破产概率
赢余过程
随机利率
跳一扩散模型
鞅
ruin probability
reserve process
stochastic interest rate
jump - diffusion model
martingale
