| Ruin Probability in Linear Time Series Model |
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| 引用本文： | 张丽宏. Ruin Probability in Linear Time Series Model[J]. 清华大学学报, 2005, 10(2): 259-264 |
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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： | This paper analyzes a continuous time risk model with a linear model used to model the claim process. The time is discretized stochastically using the times when claims occur, using Doob‘s stopping time theorem and martingale inequalities to obtain expressions for the ruin probability as well as both exponential and non-exponential upper bounds for the ruin probability for an infinite time horizon. Numerical results are included to illustrate the accuracy of the non-exponential bound.
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| 关 键 词： | 破产概率 线性时间序列模式 风险分析 分析方法 |
Ruin Probability in Linear Time Series Model |
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| ZHANG Lihong School of Economics and Management,Tsinghua University,Beijing ,China. Ruin Probability in Linear Time Series Model[J]. Tsinghua Science and Technology, 2005, 10(2): 259-264 |
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| Authors: | ZHANG Lihong School of Economics Management Tsinghua University Beijing China |
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| Affiliation: | ZHANG Lihong School of Economics and Management,Tsinghua University,Beijing 100084,China |
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| Abstract: | |
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| Keywords: | martingale linear model stopping time ruin probability martingale inequality upper bound for ruin probability |
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