带连续变利率风险模型最终破产概率上界
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引用本文:王芝皓1, 吴黎军2.带连续变利率风险模型最终破产概率上界[J].经济数学,2015,(1):95-98
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作者单位
王芝皓1, 吴黎军2 (1.新疆财经大学 统计与信息学院新疆 乌鲁木齐 830012
2.新疆大学 数学与系统科学学院新疆 乌鲁木齐 830046) 
中文摘要:考虑了带二元连续变利息力的Sparre Andersen风险模型. 研究了积累值盈余过程的表达式与性质;在利率递增环境下, 利用推广后的调节系数方程组与递归技术推导了最终破产概率的上界, 结论表明得到的破产概率上界是更为一般的Lundberg指数上界.
中文关键词:二元变利息力  Sparre Andersen模型  最终破产概率  调节系数方程组  Lundberg上界
 
Upper Bounds for Ultimate Ruin Probabilities in the Risk Model with Continuous Increasing Variable Interest
Abstract:We consider the Sparre Andersen Model modified by the inclusion of a binary continuous variable interest force. The properties and presentation of accumulated surplus process are studied, the upper bounds for the ultimate ruin probabilities are derived by recursive techniques and adjustment coefficient equation system in increasing interest environment. The conclusion we derived is also a generalization of Lundberg-type upper bounds.
keywords:binary variable interest force  Sparre Andersen Model  ultimate ruin probabilities  adjustment coefficient equation system  Lundberg-type upper bound
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