摘要
研究具有相依利息率的离散时间风险模型的破产概率,在模型中假定利率为一阶自回归结构,并且考虑风险投资.利用递归更新方法和鞅方法分别给出了破产概率的上界估计,并且讨论了相应的最小上界问题.
Researched on the ruin probability of a discrete time risk model with dependent rates of interest. In this model, the interest rate was assumed to be a structure of first-order autoregression and risk investment was considered. The upper bounds were derived by renewal recursive technique and martingale method respectively, the corresponding minimum upper bound for ruin probability was also discussed.
出处
《高师理科学刊》
2016年第1期28-31,共4页
Journal of Science of Teachers＇College and University
关键词
一阶自回归
破产概率
最优化投资
上界
first-order autoregression
ruin probability
optimal investment strategy
upper bound
