带随机利率的二维离散时的破产概率

发布时间：2018-02-12 10:39

本文关键词： 破产概率二维离散时风险模型随机利率　出处：《重庆师范大学学报(自然科学版)》2017年03期 　论文类型：期刊论文

【摘要】：【目的】讨论了一个带有随机利率的二维离散时风险模型,该模型由边际分布服从延拓正则变化族分布的随机变量组成的随机向量构造,建立一个更为符合实际需求的二维模型。【方法】借鉴求带常数利率的二维离散时风险模型中的二维有限时破产概率的方法,研究了此模型上的二维有限时破产概率问题。【结果】在给定的一些假设条件下,得到了如下带随机利率的二维离散时风险模型中关于二维有限时破产概率的一致渐近结论:当x→∞时φ(x,n)~n∑k=1n∑j=1P(X 1,k∏l=1Ylx1,X2,j∏l=1Ylx2),其中x=x1+x2。【结论】推广了带常数利率条件下的二维离散时风险模型中的相应结论。
[Abstract]:[Objective] to discuss a two-dimensional discrete time stochastic interest rate risk model, the model consists of marginal distributions of random vector to construct the extended regular variation group distributed random variable composition, establish a more accord with the actual needs of the two-dimensional model. [method] reference method for discrete two-dimensional 2D with constant interest rate the risk model of finite time ruin probability with the study on the model of the two-dimensional finite time ruin probability problem. [results] in some given conditions, obtained the following asymptotic two-dimensional discrete with Stochastic Rates of interest risk model in a two-dimensional finite time ruin probability with the conclusion: when x approaches infinity phi (x, n) ~n k=1n j=1P (X 1 sigma sigma PI, K l=1Ylx1, X2, J, l=1Ylx2 II) in which the corresponding node x=x1+x2. [Conclusion] generalized two-dimensional discrete with constant interest rate under the condition of risk model in the theory.

【作者单位】：内蒙古民族大学数学学院;
【基金】：国家自然科学基金(No.81460656) 内蒙古民族大学科学研究基金资助项目(No.NMDYB1436;No.NMDYB1437)
【分类号】：F840;O211

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