| 基于进入过程带投资和干扰的风险模型 |
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| 引用本文： | 郭东林.基于进入过程带投资和干扰的风险模型[J].咸阳师范学院学报,2010,25(6). |
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| 作者姓名： | 郭东林 |
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| 作者单位： | 商丘师范学院数学系; |
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| 摘 要： | 讨论了投资和干扰下基于进入过程的风险模型的破产概率.分析得到该模型的盈余过程具有平稳独立增量性:并利用鞅方法获得了该模型破产概率的显式表达式以及它的一个上界估计.
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| 关 键 词： | 进入过程 投资 破产概率 鞅方法 |
Entrance Processes Based Risk Model with Investment and Interference |
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| GUO Dong-lin.Entrance Processes Based Risk Model with Investment and Interference[J].Journal of Xianyang Normal University,2010,25(6). |
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| Authors: | GUO Dong-lin |
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| Institution: | GUO Dong-lin(Department of Mathematics,Shangqiu Normal College,Shangqiu,Henan 476000,China) |
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| Abstract: | Entrance processes based risk model with investment and interference is considered in this paper.Firstly,the stationary increment property of profit process is obtained.Secondly,the explicit expression and an upper bound estimation of ruin probability are derived by using the martingale method. |
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| Keywords: | entrance processes investment ruin probability martingale method |
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