带有Markov链利率的相依风险模型破产概率的界

发布时间：2018-03-17 14:10

本文选题：Markov链　切入点：高阶自回归结构　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】研究具有齐次马氏链利率过程的离散时间相依风险模型。【方法】针对保费在期初收取和索赔在期末收取的情况,利用鞅方法和更新迭代的方法对破产概率模型进行研究,其中利率的马尔可夫性体现了未来利率与历史利率的独立性,保费过程和索赔过程都具有高阶自回归结构,考虑两者各自的相依性可使模型更具有普遍性。【结果】得到了所研究风险模型破产概率的上界。【结论】研究结果为解决实际生活中的保险问题提供了一定的理论依据。
[Abstract]:[objective] to study the discrete time dependent risk model with homogeneous Markov chain interest rate process. [methods] for the case of premium collection at the beginning of the period and claim collection at the end of the period, The ruin probability model is studied by means of martingale method and renewal iteration method. The Markov property of interest rate embodies the independence of future interest rate and historical interest rate, and the premium process and claim process have higher order autoregressive structure. Considering the dependence of the two models, we can make the model more universal. [results] the upper bound of the ruin probability of the risk model studied is obtained. [conclusion] the research results provide a certain theoretical basis for solving the insurance problem in real life.
【作者单位】：电子科技大学数学科学学院;
【基金】：国家自然科学基金(No.71501025) 中国博士后科学基金第57批面上资助项目(No.2015M572467) 四川省应用基础研究项目(No.2016JY0257)
【分类号】：F840;O211.62

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