华东师范大学学报（自然科学版）Issue(1)：70-77,8.
有投资回报的更新风险模型的破产概率的上界
Upper Bound for Renewal Risk Model with Stochastic Investment Return
摘要
Abstract
Ruin problems in the ordinary renewal risk model with stochastic investment were examined. The asset price process of investment ts denoted by {eRt, t ≥ 0}, where Rt time of the surplus process with investment, an upper bound for ultimate ruin probability by martingale approach was presented. The impact of inter-arrival times of claims on ruin probability was considered by numerical method.关键词
更新风险模型/勒维过程/破产概率/鞅方法Key words
ordinary renewal risk model/Lévy process/ruin probability/martingale分类
数理科学引用本文复制引用
徐林,汪荣明,姚定俊..有投资回报的更新风险模型的破产概率的上界[J].华东师范大学学报（自然科学版）,2007,(1):70-77,8.基金项目
国家自然科学基金(10671072) （10671072）
上海市教委与上海市教育发展基金会"曙光"项目(04SG27) （04SG27）
教育部高等学校博士学科总基金(20060269016) （20060269016）
安徽省高校青年教师科研基金项目(006jql045) （006jql045）
安徽师范大学青年基金(2006xqn53) （2006xqn53）
