| 保费再投资下COX风险模型的破产概率 |
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| 引用本文： | 耿金辉,李志民.保费再投资下COX风险模型的破产概率[J].贵州师范大学学报(自然科学版),2014,32(5):91-93. |
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| 作者姓名： | 耿金辉 李志民 |
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| 作者单位： | 安徽工程大学数理学院,安徽芜湖,241000 |
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| 基金项目： | 安徽省高校省级自然科学研究重点项目 |
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| 摘 要： | 基于经典的风险模型,考虑了对于保费进行稳健投资的情况,引入了将保费进行再投资情况下的Cox风险模型,利用鞅方法研究了破产概率问题,给出了破产概率的上界的Lundberg不等式,并对Lundberg不等式进行了推广。
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| 关 键 词： | 保费 Cox过程 破产概率 Lundberg不等式 |
The ruin probability of premium reinvestment COX risk model |
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| GENG Jinhui,LI Zhimin.The ruin probability of premium reinvestment COX risk model[J].Journal of Guizhou Normal University(Natural Sciences),2014,32(5):91-93. |
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| Authors: | GENG Jinhui LI Zhimin |
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| Institution: | GENG Jinhui;LI Zhimin;School of Mathematics and Physics,Anhui Polytechnic University; |
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| Abstract: | Based on the classical risk model,considering the premium for sound investment situation,premiums reinvestment will be introduced in the Cox risk model,study ruin probability problems by using the martingale method,Lundberg inequality bound for the ruin probabilities are given,and then generalize the Lundberg inequality. |
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| Keywords: | Premium Cox process ruin probability Lundberg inequality |
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