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.
Main Authors: | WANGQuan(王泉), ZHANGYi(张奕) |
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Format: | Article |
Language: | zho |
Published: |
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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