摘要
在离散复合二项模型中加入一个随机投资收益而得到带投资的离散风险模型,在这种模型下得到了破产概率所满足的积分方程,有限时间内破产、破产时刻、破产前一刻盈余和破产时赤字的联合分布的递推公式,也得到了和经典模型相类似的破产概率表达式和Lundberg不等式.
A discrete risk model with return on investments is proposed by putting a random return on investment in the compound binomial model. The integral equation of its ruin probability is derived. Recursive formulas are provided for the computation of the finite-time ruin probability,the distribution of the time of ruin and the joint distribution of the surplus immediately before ruin and the deficit at ruin. The common formula of its ultimate ruin probability and Lundberg＇s inequality are obtained.
出处
《广西大学学报（自然科学版）》
CAS
CSCD
2008年第2期106-110,共5页
Journal of Guangxi University（Natural Science Edition）
基金
广西科学基金(桂科自0542044)
广西大学科研基金(X071085)
关键词
破产概率
风险模型
鞅
调节系数
ruin probability
risk model
martingales
adjustcoefficent
