| MA（1）利率模型下的破产概率 |
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| 引用本文： | 胡荣华,李志民.MA（1）利率模型下的破产概率[J].安庆师范学院学报(自然科学版),2012,18(1):33-37. |
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| 作者姓名： | 胡荣华 李志民 |
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| 作者单位： | 安徽工程大学应用数理学院,安徽芜湖,241000;安徽工程大学应用数理学院,安徽芜湖,241000 |
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| 基金项目： | 国家自然科学基金(71171003);安徽省自然科学基金(10040606Q03)资助 |
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| 摘 要： | 为了更好地研究利率因素对破产概率的影响,考虑两种广义破产模型,建立MA(1)利率模型,运用递归法给出有限时间和最终时间破产概率的积分方程和最终破产概率的上界表达式。对破产概率进行数值模拟,所得结果推广了古典风险模型的相应结果。
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| 关 键 词： | MA(1)模型 破产概率 递归法 鞅 |
Ruin Probability in MA(1) Stochastic Interest Rate Model |
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| HU Rong-hua,LI Zhi-min.Ruin Probability in MA(1) Stochastic Interest Rate Model[J].Journal of Anqing Teachers College(Natural Science Edition),2012,18(1):33-37. |
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| Authors: | HU Rong-hua LI Zhi-min |
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| Institution: | (School of Mathematics and Physics,Anhui Polytechnic University,Wuhu,Anhui 241000,China) |
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| Abstract: | In order to study the effects of the factors like interest rate on the ruin probability,we establish a MA(1) stochastic interest model.Recursive and integral equations for its finite and ultimate time ruin probabilities are given,and upper bounds for ultimate time ruin probabilities are obtained by inductive and martingale approaches.Numerical simulation for ruin probabilities and the results generalize the corresponding result of the classical risk model. |
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| Keywords: | MA(1) model inductive approach ruin probability martingale |
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