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摘要: 研究了在投资回报过程为指数勒维过程的情形下的更新风险模型的的破产问题. 通过构造一个和破产时刻有关的上鞅, 得到了终极破产概率的鞅上界,并用数值方法考察了理赔间隔的分布对破产概率的影响.Abstract: Ruin problems in the ordinary renewal risk model with stochastic investment were examined. The asset price process of investment is denoted by $\{e^{R_t},\ t\geqslant 0\}$, where $R_t$ is assumed to be a L\'{e}vy process. By constructing a supermartingale associated with the ruin time of the surplus process with investment, an upper bound for ultimate ruin probability bymartingale approach was presented. The impact of inter-arrival times of claims on ruin probability was considered by numerical method.
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