| 基于标准索赔额的破产模型 |
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| 引用本文： | 魏瑛源.基于标准索赔额的破产模型[J].河西学院学报,2009,25(5):15-21. |
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| 作者姓名： | 魏瑛源 |
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| 作者单位： | 河西学院数学系,甘肃,张掖,734000 |
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| 基金项目： | 本工作系甘肃省教育厅科研项目 |
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| 摘 要： | 本文将文1]建立的破产模型转化为Lundberg-Cramer经典破产模型,明确定义了该模型的破产时刻、破产概率Ψ(u)、调节系数R、破产前瞬时盈余和破产赤字等概念,并且运用鞅方法和更新理论技巧,得到了Ψ(u)的Lundberg上界、Ψ(u)的Lundberg-Cramer近似式、Ψ(0)以及破产前瞬时盈余和破产赤字的一些重要结果。
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| 关 键 词： | 标准索赔额 破产概率 破产前瞬时盈余 破产赤字 更新理论 鞅 |
The Ruin Model Based on the Standard Claim |
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| Abstract: | In this paper,the ruin model established in paper 1] is transferred into classic Lundberg-Cramer ruin model,and some concepts,such as the ruin time ,the ruin probability ,the adjustment coefficient ,the deficit of ruin and the surplus immediately before ruin,are exactly defined. By using martingales and renewal theory,some important results such as the Lundberg upper bound of the ruin probability,are obtained. |
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| Keywords: | Ruin probability Deficit of ruin Surplus immediately before ruin Martingale Renewal theory |
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