文章摘要
一类带干扰风险过程的有限时破产概率问题
Finite Time Ruin Probability for a Class of Risk Processes Perturbed by Diffusion
  
DOI:10.3969/j.issn.1671-5322.2005.01.003
中文关键词: 有限时破产概率  依赖时间的Lundberg不等式  依赖时间Lundberg指数  风险过程  布朗运动  泊松过程
英文关键词: finite time ruin probability  risk processes  time-dependent Lundberg inequality  time-dependent Lundberg exponent  Poisson processes, Brownian motion.
基金项目:
作者单位
司建东 盐城工学院基础科学部江苏盐城224003 
王成刚 江苏省盐城中学江苏盐城224001 
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中文摘要:
      研究一类带干扰风险过程的有限时破产概率问题,获得了有限时破产概率的依赖时间的Lundberg不等式以及Lundberg指数和破产问题中时间的关键值.建立有限时破产概率与最终破产概率之间的联系,并通过Lundberg指数和破产发生时间的"关键值"对不同模型进行比较,同时给出不同参数下破产发生时间的"关键值"的数值分析.
英文摘要:
      In this paper, the author addresses a class of risk processes perturbed by diffusion and ortains the “time- dependent" Lundberg inequality, the “time- dependent" Lundberg exponent for the finite time ruin probability and its relation with the probability of ruin within infinite time. He compares the size of the Lundberg exponents, critical value for different kinds of risk model and also analyzes the numerical illustration for the impact of the parameters on the ruin probability.
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