摘要
在利率具有二阶自回归相依结构的假设下,研究了一类破产概率上界的估计问题.通过积分方程导出了破产概率的上界,所得结果部分地推广了古典风险模型及现有的部分结果.
This article investigates the ruin probability under the assumption that the rate of interest is dependent upon the second autoregressive structure. A lower upper bound of the ruin probability is derived from the related integrate equation, which showed that the bound established is no smaller than that in the classical risk model.
出处
《兰州大学学报（自然科学版）》
CAS
CSCD
北大核心
2004年第4期1-4,共4页
Journal of Lanzhou University(Natural Sciences)
基金
国家自然科学基金青年基金(10201010)
数学天元青年基金(10126014)资助项目
关键词
破产概率
上界
二阶自回归相依模型
ruin probability
upper bound
second order autoregressive model
