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
发布时间：2018-10-30 19:46
【摘要】：在本文中,我们考虑了一类具有投资收益的随机保费风险模型.假设市场的利率过程是一个非负Levy过程,我们分别用鞅方法和归纳法得到了破产概率满足的非指数型上界,并用数值模拟的例子验证了该上界的有效性.此外,当理赔额分布具有正则变化尾部时,我们讨论了有限时间破产概率的渐近公式.
[Abstract]:In this paper, we consider a stochastic premium risk model with investment income. Assuming that the interest rate process of the market is a non-negative Levy process, we obtain the nonexponential upper bound of ruin probability by martingale method and induction method, respectively. The effectiveness of the upper bound is verified by numerical simulation. In addition, when the distribution of claim amount has regular variation tail, we discuss the asymptotic formula of ruin probability in finite time.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F840
本文编号：2300991
[Abstract]:In this paper, we consider a stochastic premium risk model with investment income. Assuming that the interest rate process of the market is a non-negative Levy process, we obtain the nonexponential upper bound of ruin probability by martingale method and induction method, respectively. The effectiveness of the upper bound is verified by numerical simulation. In addition, when the distribution of claim amount has regular variation tail, we discuss the asymptotic formula of ruin probability in finite time.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F840
【参考文献】
相关期刊论文 前3条
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3 成世学;破产论研究综述[J];数学进展;2002年05期
，本文编号：2300991
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