| Upper Bounds for Ruin Probability with Stochastic Investment Return |
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| 作者姓名： | 张丽宏 |
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| 作者单位： | SchoolofEconomicsandManagement,TsinghuaUniversity,Beijing100084,China |
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| 基金项目： | Supported by the National Natural Science Foundation of China (Nos. 19831020 and 70003002) and the Fundamental Research Foundation of School of Economics and Management,Tsinghua University |
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| 摘 要： | Risk models with stochastic investment return are widely held in practice, as well as in more challenging research fields. Risk theory is mainly concerned with ruin probability, and a tight bound for ruin probability is the best for practical use. This paper presents a discrete time risk model with stochastic investment return. Conditional expectation properties and martingale inequalities are used to obtain both exponential and non-exponential upper bounds for the ruin probability.
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| 关 键 词： | 风险论 破产概率 随机变量 经济学 投资 |
Upper Bounds for Ruin Probability with Stochastic Investment Return |
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| ZHANG LihongSchool of Economics and Management,Tsinghua University,Beijing ,China.Upper Bounds for Ruin Probability with Stochastic Investment Return[J].Tsinghua Science and Technology,2005,10(2):254-258. |
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| Authors: | ZHANG LihongSchool of Economics and Management Tsinghua University Beijing China |
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| Institution: | ZHANG LihongSchool of Economics and Management,Tsinghua University,Beijing 100084,China |
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| Abstract: | Risk models with stochastic investment return are widely held in practice, as well as in more challenging research fields. Risk theory is mainly concerned with ruin probability, and a tight bound for ruin probability is the best for practical use. This paper presents a discrete time risk model with stochastic in- vestment return. Conditional expectation properties and martingale inequalities are used to obtain both ex- ponential and non-exponential upper bounds for the ruin probability. |
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| Keywords: | martingale new worse than used (NWU) distribution new better than used (NBU) distribution decreasing failure rate (DFR) stochastic investment return conditional expectation |
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