摘要
基于Poisson分布单变点的思想,利用鞅方法研究具有变点理赔过程的风险模型,得到其变点前后的破产概率上界,并给出破产上界的随机模拟结果.
Based on the idea of single change point of Poisson distribution, we studied the risk model with change point claim process by using martingale method, obtained the upper bound of ruin probability before and after the change point, and gave the stochastic simulation result of ruin upper bound.
出处
《吉林大学学报（理学版）》
CAS
CSCD
北大核心
2017年第3期594-598,共5页
Journal of Jilin University:Science Edition
基金
国家自然科学基金(批准号:J1310022
11271155)
关键词
风险模型
调节系数
破产概率
鞅
随机模拟
risk model
adjustment coefficient
ruin probability
martingale
stochastic simulation
