摘要
文章研究了含有投资回报的Markov链利率形式的离散时间风险模型的上界问题。模型中假设持续的投入资金量是常数形式,并且假设股票市场的回报比例和净损失均具有一阶自回归结构,利用递归更新方法给出了破产概率的上界估计。
In this paper,upper bound for ruin probabilities were examined in a discrete time risk model with a Markov chain interest rate.The amount of investment were assumed to be a constant.The return process of a stock market and the net losses were assumed to have a dependent AR（ 1 ） structure.The upper bounds were derived by renewal recursive technique.
出处
《企业技术开发》
2016年第9期23-25,75,共4页
Technological Development of Enterprise
关键词
一阶自回归
破产概率
投资策略
上界
AR（ 1 ）
ruin probability
investment strategy
upper bound
