摘要
本文研究经济环境下引入投资的古典风险模型的破产概率,在保险公司有风险投资的情况下,利用鞅方法我们得到了调解系数方程和破产概率的上界.
The aim of this article is to study the ruin probability for an insurance company in the classical risk model under economic enviroment. The additional feature is that the insurance company is allowed to invest in some risk market, such as the stock market. We obtain the equation for solving the adjustment coefficient and the up-bound of the ruin probability via martingale method.
出处
《经济数学》
2005年第2期111-117,共7页
Journal of Quantitative Economics
基金
教育部社科项目资助(编号:02JA790057)
