摘要
根据概率统计学和经济学理论,利用风险分析中的破产概率与带正跳的Lévy过程的一类极值分布间的关系,求得该极值分布的表达式,进而建立带正跳的Lévy过程与不破产概率模型,通过计算机仿真模拟,得到的结果较为符合实际.
The extreme distribution for the Lévy processes with positive jumping are given by the relations of the extreme distribution and ruin probability. Based on the probability statistics and the economics, the paper seeks the expression of the extreme distribution, and establishes the research model of the relation between the extreme distribution for the Lévy processes with positive jumping and the probability of non - bankruptcy. The simulative results of computer imitating and simulating are quite consistent with fact.
出处
《武汉工程大学学报》
CAS
2007年第2期88-91,共4页
Journal of Wuhan Institute of Technology
关键词
带正跳的Lévy过程
POISSON过程
不破产概率
分布函数
the Lévy processes with positive jumping
processes of Poisson
probability of non- bankruptcy
distribution function
