| 负风险模型及其推广模型基本性质和应用 |
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| 引用本文： | 胡平玮,黎锁平.负风险模型及其推广模型基本性质和应用[J].兰州理工大学学报,2010,36(1). |
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| 作者姓名： | 胡平玮 黎锁平 |
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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： | 甘肃省自然科学基金(0809RJZA019);;甘肃省高校研究生导师科研基金(0703-10) |
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| 摘 要： | 引入基本负风险模型,通过分析其最终破产概率所满足的泛函方程证明破产概率所满足的Lundberg不等式,该模型中采用指数效用原理所得到的单位时间的支出c与一般情形下所得到的c相同;研究同时含有正、负两类风险过程的风险模型,获得系列性质及其破产概率所满足的表达式.
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| 关 键 词： | 正、负风险过程 指数效用原理 Lundberg不等式 破产概率 |
Basic properties of negative risk model and its extended counterpart and their applications |
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| HU Ping-wei,LI Suo-ping.Basic properties of negative risk model and its extended counterpart and their applications[J].Journal of Lanzhou University of Technology,2010,36(1). |
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| Authors: | HU Ping-wei LI Suo-ping |
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| Institution: | School of Science;Lanzhou Univ.of Tech.;Lanzhou 730050;China |
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| Abstract: | By introducing basic negative risk model,the Lundberg inequality satisfied by the ruin probability was verified by means of analyzing the functional equation satisfied by the ultimate ruin probability.Furthermore,the identity of the expenditure c per unit time obtained with exponential principle with that obtained in the general cases was concluded.A risk model which included both the positive and negative risk processes was studied and a series of properties and expressions for evaluation of ruin probabili... |
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| Keywords: | positive and negative risk process exponential effect principle Lundberg inequality ruin probability |
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