| 带常利率的离散时间风险模型的破产概率 |
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| 引用本文： | 严玉英,王汉兴,汪洁瑾. 带常利率的离散时间风险模型的破产概率[J]. 应用数学与计算数学学报, 2008, 22(1) |
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| 作者姓名： | 严玉英 王汉兴 汪洁瑾 |
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| 作者单位： | 1. 上海大学理学院数学系,上海,200444
2. 上海立信会计学院数理统计系,上海,201620 |
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| 基金项目： | 国家自然科学基金 , 中国立信风险管理研究院资助项目 |
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| 摘 要： | 本文研究带常利率的离散时间的风险模型,得出了保险公司最终破产概率的一个近似解.给出了估计破产概率的上下界的表达式,并得到近似解的误差估计值.最后将结果应用到当保费服从指数分布这一特殊情况.
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| 关 键 词： | 利率 破产概率 风险模型 常利率 离散时间 风险模型 最终破产概率 Constant Interest Risk Model Discrete Ruin Probability 情况 指数分布 保费 应用 结果 误差估计值 表达式 上下界 近似解 保险 研究 |
An Estimate of Ruin Probability in Discrete Risk Model with Constant Interest |
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| Yan Yuying,Wang Hanxing,Wang Jiejin. An Estimate of Ruin Probability in Discrete Risk Model with Constant Interest[J]. Communication on Applied Mathematics and Computation, 2008, 22(1) |
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| Authors: | Yan Yuying Wang Hanxing Wang Jiejin |
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| Affiliation: | Yan Yuying~1 Wang Hanxing~2 Wang Jiejin~1 Department of Mathematics,Shanghai University,Shanghai 200444,China Department of Mathematics , Statistics,Shanghai Lixin University of Commerce,Shanghai201620,China. |
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| Abstract: | This paper studies the discrete risk model with constant interest.An estimate of the ultimate ruin probability is derived.And upper bound and lower bound are also derived respectively.According to the upper bound and lower bound,we can easily obtain the error estimate of the approximate.In the end,we apply the results to the model that the claims have the exponential distribution. |
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| Keywords: | interest ruin probability risk model |
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