吉林大学学报（理学版）2017，Vol.55Issue(6)：1345-1351,7.DOI:10.13413/j.cnki.jdxblxb.2017.06.01
具有投资收益的随机保费风险模型 破产概率的非指数型上界
Non-exponential Upper Bounds of Ruin Probability for Stochastic Premium Risk Model with Investment Income
摘要
Abstract
We considered a class of stochastic premium risk model with investment income,and assumed that the interest rate process was a non-negative Lévy process.We obtained non-exponential upper bounds of the ruin probability by martingale and inductive approaches,respectively,and gave some numerical simulations to illustrate the advantage of the non-exponential upper bounds.关键词
随机利率/随机保费/破产概率/非指数型上界Key words
stochastic interest rate/stochastic premium/ruin probability/non-exponential upper bound分类
数理科学引用本文复制引用
高彦伟,申川,程建华..具有投资收益的随机保费风险模型 破产概率的非指数型上界[J].吉林大学学报（理学版）,2017,55(6):1345-1351,7.基金项目
国家自然科学基金(批准号:11501241)、吉林省青年科研基金(批准号:20150520053JH)和吉林省教育厅"十二五"科学技术研究项目(批准号:吉教科合字[2014]第B020号). （批准号:11501241）
