| 带部分风险投资的风险模型的破产问题 |
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| 引用本文： | 陈传钟. 带部分风险投资的风险模型的破产问题[J]. 海南师范大学学报(自然科学版), 2005, 18(4): 299-305 |
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| 作者姓名： | 陈传钟 |
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| 作者单位： | 海南师范学院,数学系,海南,海口,571158 |
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| 基金项目： | 海南省教育厅高等学校科研基金资助项目(HJKJ200411) |
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| 摘 要： | 引进了一类带部分风险投资因素的风险模型,得到了该模型的破产概率以及破产后与破产前瞬时的盈余分布的递推表达形式,还用鞅的方法证明了该模型的盈余折扣过程是收敛的,由此得到了破产概率的上下界的表示.
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| 关 键 词： | 风险投资 破产概率 破产前瞬时的盈余分布 破产后瞬时的盈余分布 |
| 文章编号： | 1671-8747(2005)04-0299-07 |
| 修稿时间： | 2005-09-02 |
A risk model with interest rate and risky investment |
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| CHEN Chuan-zhong. A risk model with interest rate and risky investment[J]. Journal of Hainan Normal University:Natural Science, 2005, 18(4): 299-305 |
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| Authors: | CHEN Chuan-zhong |
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| Abstract: | In this paper,we studied a risk model with interest rate and risky investment.An expression of ruin probability andbounds for ruin probability were provided and the convergence of the discounted surplus was proved by using the martingle method. |
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| Keywords: | risky investment ruin probability distributon of surplus immediately before ruin distribution of surplus immediatelyafter ruin |
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