具有相依结构离散时间模型破产概率的上界
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引用本文:魏龙飞.具有相依结构离散时间模型破产概率的上界[J].经济数学,2016,(1):88-92
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作者单位
魏龙飞 (辽宁师范大学 数学学院辽宁 大连116029) 
中文摘要:研究两类具有相依结构的离散时间风险模型的破产概率问题.其中,索赔和利率过程假设为2个不同的自回归移动平均模型.利用更新递归技巧,首先得到了该模型下破产概率所满足的递归方程.然后,根据该递归方程得到了破产概率的上界估计.最后对两类风险模型的破产概率的上界进行了比较.
中文关键词:破产概率  自回归移动平均模型  上界估计
 
Upper Bounds for Ruin Probabilities in Discrete Time Risk Model with Dependent Structure
Abstract:This paper investigated ruin probabilities for two classes of discrete time risk model with dependent structure. Two autoregressive moving average models were introduced to model the claims and rates of interest. By using renewal recursive technique, we first got the recursive formulas for the ruin probabilities. Then the estimation for the upper bounds for the distribution of the ruin probabilities were derived by applying the above recursive formulas. Lastly the comparison between upper bounds for the distribution of the ruin probabilities were given.
keywords:ruin probability  autoregressive moving average model  estimation for upper bounds
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