二项风险模型中破产概率上界的估计

Estimation of upper bound for ruin probability in the binomial risk model

目的对二项风险模型中的破产概率的指数上界进行了有效估计。方法主要运用离散的5阶凸随机序的极值分布的理论。结果在离散的5阶凸随机序意义下,获得了破产概率的指数上界的估计。结论模拟结果非常接近精确的指数上界。

Aim To effectively estimate the exponential upper bound of ruin probability in the bi- nomial risk model. Method The extremal theory of the discrete 5-convex stochastic order was mainly used for the abovementioned aim. Result The estimation of the exponential upper bound of ruin probability in the sense of discrete 5-convex was obtained. Conclusion Simulation results were very close to the accurate exponential upper bound.