带干扰风险模型下的破产概率双边界的估计

华东师范大学学报(自然科学版) ›› 2003, Vol. 2003 ›› Issue (3): 24-30.

带干扰风险模型下的破产概率双边界的估计

林庆敏¹; 汪明荣²

1 中国平安人寿保险股份有限公司,上海 200040; 2 华东师范大学统计系, 上海 200062

收稿日期:2001-12-23 修回日期:2003-09-25 出版日期:2003-09-10 发布日期:2003-09-10

The Estimates of Bounds on Ruin Probabilities under Perturbed Risk Models

LIN Qing-min¹; WANG Rong-ming²

1 China Ping An Life Insurances Co LTD, Shanghai 200040,China; 2 Department of Statistics, East China Normal University, Shanghai 200062, China

Received:2001-12-23 Revised:2003-09-25 Online:2003-09-10 Published:2003-09-10

摘要/Abstract

摘要： 作者用Wald鞅方法对带干扰风险模型下的破产概率进行了研究,基于不同的寿命分布族分别得到了破产概率的上下界,并将其与前人的结果进行了比较.

关键词: 破产概率双边界, 带干扰风险模型, 寿命分布族, 复合分布, 破产概率双边界, 带干扰风险模型, 寿命分布族, 复合分布

Abstract: Bounds on the probabilities for risk processes perturbed by diffusion are considered. Using a generalization of Wald's fundamental identity, we derive upper and lower bounds in terms of some life distributions respectively. Examples on how to use these bounds are given,and comparision of our bounds with other's are considered.

Key words: risk processes perturbed by diffusion, life distributions, compound distributions, bounds on ruin probabilities, risk processes perturbed by diffusion, life distributions, compound distributions

林庆敏;汪明荣. 带干扰风险模型下的破产概率双边界的估计[J]. 华东师范大学学报(自然科学版), 2003, 2003(3): 24-30.

LIN Qing-min;WANG Rong-ming. The Estimates of Bounds on Ruin Probabilities under Perturbed Risk Models[J]. Journal of East China Normal University(Natural Sc, 2003, 2003(3): 24-30.