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| 带投资收益的离散风险模型研究 | |
| 引用本文： | 方世祖,孙歆,刘瑶环. 带投资收益的离散风险模型研究[J]. 广西大学学报(自然科学版), 2008, 33(2): 106-110 |
| 作者姓名： | 方世祖 孙歆 刘瑶环 |
| 作者单位： | 广西大学数学与信息科学学院,广西,南宁,530004;广西大学数学与信息科学学院,广西,南宁,530004;长江大学信息与数学学院,湖北,荆州,434023 |
| 基金项目： | 广西科学基金 , 广西大学科研基金 |
| 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. |
| 关 键 词： | 破产概率 风险模型 鞅 调节系数 |
The study of the discrete risk model with return on investments |
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| FANG Shi-zu,SUN Xin,LIU Yao-huan. The study of the discrete risk model with return on investments[J]. Journal of Guangxi University(Natural Science Edition), 2008, 33(2): 106-110 | |
| Authors: | FANG Shi-zu SUN Xin LIU Yao-huan |
| Affiliation: | FANG Shi-zu1,SUN Xin1,LIU Yao-huan1,2(1.College of Mathematics , information Science,Guangxi University,Nanning 530004,China,2.College of Information , Mathematics,Yangtze University,Jingzhou 434023) |
| Abstract: | 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. |
| Keywords: | ruin probability risk model martingales adjustcoefficent |
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