摘要
考虑一类具有投资收益的随机保费风险模型,假设市场的利率过程是一个非负Lévy过程,分别用鞅方法和归纳法得到了破产概率满足的非指数型上界,并给出一些数值模拟说明非指数型上界的优越性.
We considered a class of stochastic premium risk model with investment income,and assumed that the interest rate process was a non-negative Lévy process.We obtained non-exponential upper bounds of the ruin probability by martingale and inductive approaches,respectively,and gave some numerical simulations to illustrate the advantage of the non-exponential upper bounds.
出处
《吉林大学学报（理学版）》
CAS
CSCD
北大核心
2017年第6期1345-1351,共7页
Journal of Jilin University:Science Edition
基金
国家自然科学基金(批准号:11501241)
吉林省青年科研基金(批准号:20150520053JH)
吉林省教育厅"十二五"科学技术研究项目(批准号:吉教科合字[2014]第B020号)
关键词
随机利率
随机保费
破产概率
非指数型上界
stochastic interest rate
stochastic premium
ruin probability
non-exponential upper bound
