非齐次风险模型破产概率的指数界

Pub Date : 2020-06-04 DOI:10.37190/0208-4147.41.2.2

Qianqian Zhou, A. Sakhanenko, Junyi Guo

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引用次数: 0

摘要

本文给出了非齐次风险模型破产概率的lundberg型不等式。利用鞅方法，得到了一般风险模型在弱假设条件下破产概率的上界。此外，还研究了几种风险模型，包括新定义的统一风险模型和带利率的准周期风险模型。

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Exponential bounds of ruin probabilities for non-homogeneous risk models

Lundberg-type inequalities for ruin probabilities of non-homogeneous risk models are presented in this paper. By employing martingale method, the upper bounds of ruin probabilities are obtained for the general risk models under weak assumptions. In addition, several risk models, including the newly defined united risk model and quasi-periodic risk model with interest rate, are studied.

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