| 带有投资风险的保险模型的破产概率研究及数值模拟 |
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| 引用本文： | 李黎.带有投资风险的保险模型的破产概率研究及数值模拟[J].科学技术与工程,2010,10(2). |
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| 作者姓名： | 李黎 |
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| 作者单位： | 暨南大学经济学院统计系,广州,510632 |
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| 摘 要： | 在带有投资风险的保险模型Xt=u+a∫t0Xsds+σ∫0tXsdws+∫t0csds-∑iN=1tξi的基础上,对其做相应的推广,并求出推广模型的破产概率上界,然后利用R软件和数值模拟的方法,估计出此保险模型的上界,并将估计值与推导出的理论上界进行比较,考察其精确程度,结果发现理论上界有些偏大。
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| 关 键 词： | 应用统计数学 破产概率 风险投资模型 数值模拟 R软件 |
| 收稿时间： | 10/8/2009 8:40:40 PM |
| 修稿时间： | 2009/10/23 0:00:00 |
Studies on Ruin Probability of Insurance Models with Risk Investments and Simulation |
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| lili.Studies on Ruin Probability of Insurance Models with Risk Investments and Simulation[J].Science Technology and Engineering,2010,10(2). |
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| Authors: | lili |
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| Institution: | Department of Statistics/a>;College of Economics/a>;Jinan University/a>;Guangzhou 510632/a>;P.R.China |
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| Abstract: | Based on insurance models with risk investments,R-project and simulation methods is applied to estimate their ruin probabilies and their differences are conyarel and inveslingate.Results show that upper bounds of ruin probability are a bit bigger than those deduced by simulation. |
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| Keywords: | applied statistical mathematics ruin probability risk investment simulation R-project |
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