| 带投资组合的风险模型 |
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| 引用本文： | 夏亚峰,罗永丽.带投资组合的风险模型[J].甘肃科学学报,2011,23(1):53-56. |
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| 作者姓名： | 夏亚峰 罗永丽 |
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| 作者单位： | 兰州理工大学理学院,甘肃,兰州,730050 |
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| 基金项目： | 甘肃省教育厅硕士点科研项目 |
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| 摘 要： | 由于保险公司风险经营规模的不断扩大,考虑到单一投资项风险模型的局限性,研究了带投资组合的风险模型,并利用鞅论的方法得到了其最终破产概率的一般表达式和破产概率的一个上界.
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| 关 键 词： | 投资组合 风险模型 鞅 停时 破产概率 |
A Risk Model with Investment Portfolio |
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| XIA Ya-feng,LUO Yong-li.A Risk Model with Investment Portfolio[J].Journal of Gansu Sciences,2011,23(1):53-56. |
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| Authors: | XIA Ya-feng LUO Yong-li |
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| Institution: | (School of Sciences,Lanzhou University of Science and Technology,Lanzhou 730050,China) |
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| Abstract: | The insurance develops rapidly and the scale of the business expands incessantly.Considering the limitations of a single investment risk model,we present another risk model with investment portfolio.By the method of martingale,the formula of ultimate ruin probability and its upper bound are obtained. |
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| Keywords: | investment portfolio risk model martingale stopping time ruin probability |
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