带连续变利率风险模型最终破产概率上界

考虑了带二元连续变利息力的Sparre Andersen风险模型.研究了积累值盈余过程的表达式与性质;在利率递增环境下,利用推广后的调节系数方程组与递归技术推导了最终破产概率的上界,结论表明得到的破产概率上界是更为一般的Lundberg指数上界.

Upper Bounds for Ultimate Ruin Probabilities in the Risk Model with Continuous Increasing Variable Interest

We consider the Sparre Andersen Model modified by the inclusion of a binary continuous variable interest force. The properties and presentation of accumulated surplus process are studied, the upper bounds for the ultimate ruin probabilities are derived by recursive techniques and adjustment coefficient equation system in increasing interest environment. The conclusion we derived is also a generalization of Lundberg-type upper bounds.