| 带有Stoodley变利息风险模型最终破产概率上界的研究 |
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| 引用本文： | 王芝皓,吴黎军.带有Stoodley变利息风险模型最终破产概率上界的研究[J].山东理工大学学报,2013(5):44-47. |
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| 作者姓名： | 王芝皓 吴黎军 |
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| 作者单位： | 新疆大学数学与系统科学学院,新疆乌鲁木齐830046 |
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| 摘 要： | 考虑带有变利息力满足Stoodley模型的复合Poisson风险模型连续时间最终破产概率的上界,推导出了Stoodley变利息力下现值风险模型的表达形式及其性质;通过鞅方法给出了最终破产概率的Lundberg型指数上界.
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| 关 键 词： | 变利息力 Stoodley模型 Lundberg指数上界 鞅方法 |
Upper bounds for ultimate ruin probabilities in the risk model with Stoodley variable interest |
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| WANG Zhi-hao,WU Li-jun.Upper bounds for ultimate ruin probabilities in the risk model with Stoodley variable interest[J].Journal of Shandong University of Technology:Science and Technology,2013(5):44-47. |
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| Authors: | WANG Zhi-hao WU Li-jun |
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| Institution: | (College of Mathematics and Systems Science, Xinjiang University, Urumchi 830046, China) |
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| Abstract: | In this paper, we consider the upper bounds for ultimate ruin probabilities in continu- ous time in a compound Poisson model with variable interest force in Stoodley model. Presenta- tion and properties of discounted value risk model with Stoodley interest are derived. The Lund- berg upper bounds＇ for discount risk model are also given by martingale methods. |
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| Keywords: | variable interest Stoodley model Lundberg upper bounds martingale |
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