| 常利率下自回归索赔模型的破产概率的界 |
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| 引用本文： | 彭江艳,黄晋,武德安.常利率下自回归索赔模型的破产概率的界[J].数学的实践与认识,2011,41(20). |
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| 作者姓名： | 彭江艳 黄晋 武德安 |
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| 作者单位： | 电子科技大学数学科学学院,四川成都,611731 |
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| 基金项目： | 国家自然科学基金(50775026);国家自然科学基金(10871034); 中央高校基本科研业务费专项资金(ZYGX2010J111) |
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| 摘 要： | 研究常利率下的一个广义连续时间更新风险模型的(最终)破产概率,其中自回归过程模拟相依的索赔过程.通过更新的递推方法,得到了此模型破产概率的指数上、下界.
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| 关 键 词： | 破产概率 更新风险模型 自回归模型 指数界 |
Bounds for Ruin Probability in an Autoregressive Claim Model with Constant Interest Rate |
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| PENG Jiang-yan,HUANG Jin,WU De-an.Bounds for Ruin Probability in an Autoregressive Claim Model with Constant Interest Rate[J].Mathematics in Practice and Theory,2011,41(20). |
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| Authors: | PENG Jiang-yan HUANG Jin WU De-an |
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| Institution: | PENG Jiang-yan,HUANG Jin,WU De-an (School of Mathematical Sciences,University of Electronic Science and Technology of China,Chengdu 611731,China) |
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| Abstract: | In this article,the ruin probability is examined in a continuous-time renewal risk model with constant interest rate,in which an autoregressive process is used to model the claim process.By the renewal recursive approach,exponential bounds are obtained for the ruin probability. |
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| Keywords: | Ruin probability renewal risk model autoregressive model exponential bound |
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