重庆文理学院学报：自然科学版2012，Vol.31Issue(2)：21-24,4.
跳跃-扩散风险下保险公司破产概率研究
Inferring the ruin probability under jump- diffusion model for insurance company
孙宗岐1
作者信息
- 1. 西安思源学院数理教研室,陕西西安710038
- 折叠
摘要
Abstract
This paper deduces the reserve process to a jump diffusion process and the interest rate to a jump diffusion model form the classics CIR model. Using the spread Ito formula and martingale, the ruin probability for insurance company was studied. At last a secondorder partial differential equation which satisfied by the ruin probability was obtained.关键词
破产概率/赢余过程/随机利率/跳一扩散模型/鞅Key words
ruin probability/reserve process/stochastic interest rate/jump - diffusion model/martingale分类
数理科学引用本文复制引用
孙宗岐..跳跃-扩散风险下保险公司破产概率研究[J].重庆文理学院学报：自然科学版,2012,31(2):21-24,4.
