Bidimensional discrete-time risk model with constant interest(考虑常利率的二维离散风险模型的破产概率)
考虑一个带常利率的二维离散风险模型.假设两险种的理赔服从二维一阶自回归模型,利用鞅方法导出最终破产概率的Lundberg型不等式及上界.并通过具体数值分析解释了各种不同参数对破产概率上界的影响.
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Format: | Article |
Language: | zho |
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Zhejiang University Press
2008-09-01
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Series: | Zhejiang Daxue xuebao. Lixue ban |
Subjects: | |
Online Access: | https://doi.org/10.3785/j.issn.1008-9497.2008.05.006 |
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author | WANGQuan(王泉) ZHANGYi(张奕) |
author_facet | WANGQuan(王泉) ZHANGYi(张奕) |
author_sort | WANGQuan(王泉) |
collection | DOAJ |
description | 考虑一个带常利率的二维离散风险模型.假设两险种的理赔服从二维一阶自回归模型,利用鞅方法导出最终破产概率的Lundberg型不等式及上界.并通过具体数值分析解释了各种不同参数对破产概率上界的影响. |
first_indexed | 2024-04-24T16:59:28Z |
format | Article |
id | doaj.art-9ae5e5e9456b4210ae994b632c146be3 |
institution | Directory Open Access Journal |
issn | 1008-9497 |
language | zho |
last_indexed | 2024-04-24T16:59:28Z |
publishDate | 2008-09-01 |
publisher | Zhejiang University Press |
record_format | Article |
series | Zhejiang Daxue xuebao. Lixue ban |
spelling | doaj.art-9ae5e5e9456b4210ae994b632c146be32024-03-29T01:58:26ZzhoZhejiang University PressZhejiang Daxue xuebao. Lixue ban1008-94972008-09-0135550150610.3785/j.issn.1008-9497.2008.05.006Bidimensional discrete-time risk model with constant interest(考虑常利率的二维离散风险模型的破产概率)WANGQuan(王泉)0ZHANGYi(张奕)Department of Mathematics, Zhejiang University, Hangzhou 310027, China(浙江大学数学系,浙江 杭州 310027)考虑一个带常利率的二维离散风险模型.假设两险种的理赔服从二维一阶自回归模型,利用鞅方法导出最终破产概率的Lundberg型不等式及上界.并通过具体数值分析解释了各种不同参数对破产概率上界的影响.https://doi.org/10.3785/j.issn.1008-9497.2008.05.006二维离散风险模型一阶自回归模型鞅lundberg不等式lundberg上界fgm连接函数 |
spellingShingle | WANGQuan(王泉) ZHANGYi(张奕) Bidimensional discrete-time risk model with constant interest(考虑常利率的二维离散风险模型的破产概率) Zhejiang Daxue xuebao. Lixue ban 二维离散风险模型 一阶自回归模型 鞅 lundberg不等式 lundberg上界 fgm连接函数 |
title | Bidimensional discrete-time risk model with constant interest(考虑常利率的二维离散风险模型的破产概率) |
title_full | Bidimensional discrete-time risk model with constant interest(考虑常利率的二维离散风险模型的破产概率) |
title_fullStr | Bidimensional discrete-time risk model with constant interest(考虑常利率的二维离散风险模型的破产概率) |
title_full_unstemmed | Bidimensional discrete-time risk model with constant interest(考虑常利率的二维离散风险模型的破产概率) |
title_short | Bidimensional discrete-time risk model with constant interest(考虑常利率的二维离散风险模型的破产概率) |
title_sort | bidimensional discrete time risk model with constant interest 考虑常利率的二维离散风险模型的破产概率 |
topic | 二维离散风险模型 一阶自回归模型 鞅 lundberg不等式 lundberg上界 fgm连接函数 |
url | https://doi.org/10.3785/j.issn.1008-9497.2008.05.006 |
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