| 经济环境下引入投资的古典风险模型的破产概率 |
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| 引用本文： | 张波,代金.经济环境下引入投资的古典风险模型的破产概率[J].经济数学,2005,22(2):111-117. |
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| 作者姓名： | 张波 代金 |
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| 作者单位： | 中国人民大学统计学院,北京,100872 |
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| 基金项目： | 教育部社科项目资助(编号:02JA790057) |
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| 摘 要： | 本文研究经济环境下引入投资的古典风险模型的破产概率,在保险公司有风险投资的情况下,利用鞅方法我们得到了调解系数方程和破产概率的上界.
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| 关 键 词： | 古典风险模型 风险市场 调节系数 破产时刻 破产概率 |
| 修稿时间： | 2004年4月12日 |
THE RUIN PROBABILITY OF CLASSICAL RISK MODEL INVOLVES INVESTIMENT UNDER ECONOMIC ENVIRONMENT |
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| Zhang Bo,Dai Jin.THE RUIN PROBABILITY OF CLASSICAL RISK MODEL INVOLVES INVESTIMENT UNDER ECONOMIC ENVIRONMENT[J].Mathematics in Economics,2005,22(2):111-117. |
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| Authors: | Zhang Bo Dai Jin |
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| Abstract: | The aim of this article is to study the ruin probability for an insurance company in the classical risk model under economic enviroment. The additional feature is that the insurance company is allowed to invest in some risk market, such as the stock market. We obtain the equation for solving the adjustment coefficient and the up-bound of the ruin probability via martingale method. |
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| Keywords: | Classical risk model risk market adjustment coefficient ruin time ruin probability |
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