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| 保费依赖向后重现时间过程风险模型的破产概率上界(英文) | |
| 引用本文： | 何敬民,吴荣,崔家峰. 保费依赖向后重现时间过程风险模型的破产概率上界(英文)[J]. 数学进展, 2011, 0(4) |
| 作者姓名： | 何敬民 吴荣 崔家峰 |
| 作者单位： | 天津理工大学理学院;南开大学数学科学学院;天津科技大学理学院; |
| 基金项目： | Supported by NSFC(No.10901086,No.10871102); National Basic Research Program of China(973 Program,No.2007CB814905); the Research Fund for the Doctorial Program of Higher Education |
| 摘 要： | 本文研究带利率的风险模型,它的索赔计数过程是一个更新计数过程,保费收入依赖于向后重现时间过程.通过鞅方法和递推技术,得到破产概率的两个指数型上界.最后,还研究了几个具体的例子,并且给出上界的数量比较. |
| 关 键 词： | 向后重现时间过程 最终破产概率 上鞅 最优停时定理 |
Upper Bounds for the Ruin Probability in a Risk Model With Interest Whose Premiums Depend on the Backward Recurrence Time Process |
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| HE Jingmin,WU Rong,CUI Jiafeng. Upper Bounds for the Ruin Probability in a Risk Model With Interest Whose Premiums Depend on the Backward Recurrence Time Process[J]. Advances in Mathematics(China), 2011, 0(4) | |
| Authors: | HE Jingmin WU Rong CUI Jiafeng |
| Affiliation: | HE Jingmin~(1,*),WU Rong~2,CUI Jiafeng~3 (1.College of Science,Tianjin University of Technology,Tianjin,300384,P.R.China,2.School of Mathematical Sciences and LPMC,Nankai University,300071,3.College of Science,Tianjin University of Science and Technology,300222,P.R.China) |
| Abstract: | In the present paper,we investigate a risk model with interest,in which the claim counting process is a renewal counting process and premiums depend on the backward recurrence time process.We derive two exponential type upper bounds for the ruin probability by martingale methods and recursive techniques.Finally,we study several special cases and get numerical comparisons of upper bounds. |
| Keywords: | backward recurrence time process ultimate ruin probability super-martingale optional stopping theorem |
| 本文献已被 CNKI 等数据库收录！ | |