一类风险模型破产概率的上界及数值解

The Upper Bound of Ruin Probability with Its Numerical Solution

在破产理论中,破产概率的精确表达式通常不易求解,所以常常通过鞅论得出其上界。另外,一般在利率给定的条件下去建立分险模型,但受到外部因素的影响,随机利率会更实际。讨论了保险公司的破产概率,在随机利率条件下应用离散风险模型和鞅论得出该破产概率的指数型上界,并给出数值解。

In ruin theory, sometimes it is difficult to solve the explicit solution of ruin probability, anu the martingale theory is the common method to approach the upper bound of ruin probability. On the other hand, researchers often do not consider the interest rate when constructing risk model. However, in fact, affected by external economic factors, stochastic interest is closer to fact. This paper focuses on the ruin probability of insurance company with stochastic interest rate. For this discrete risk model, we use martingale theory to obtain the exponential upper bound of final ruin probability andderive the numerical solution of it.