| 离散时间下两种投资的破产概率估计 |
| |
| 引用本文： | 周燕茹.离散时间下两种投资的破产概率估计[J].巢湖学院学报,2011(6):10-13. |
| |
| 作者姓名： | 周燕茹 |
| |
| 作者单位： | 安徽师范大学数计学院,安徽芜湖,241000 |
| |
| 摘 要： | 本文研究了两种模式的离散时间的投资,一种为股票收益,股息模型为马氏链;一种为银行存储,利用一个递归方程和完整的方程,得到了破产概率上界的估计,引出影响破产概率的调节系数.
|
| 关 键 词： | 破产概率 风险过程 利息模型 调节系数 马氏链 |
DISCRETE TIME TWO INVESTMENT FOR THE RUIN PROBABILITY ESTIMATE |
| |
| ZHOU Yan-ru.DISCRETE TIME TWO INVESTMENT FOR THE RUIN PROBABILITY ESTIMATE[J].Chaohu College Journal,2011(6):10-13. |
| |
| Authors: | ZHOU Yan-ru |
| |
| Institution: | ZHOU Yan-ru(Anhui Normal University,Math and Computer College,Wuhu Anhui 241000) |
| |
| Abstract: | This paper studies two mode discrete time investment, a kind of for the stock returns, dividends model for Markov chain; The another is bank storage, use a regression equation and Complete equation, obtained the ruin probability of upper bound estimate, leads to influence the adjustment coefficient of ruin probability. |
| |
| Keywords: | Ruin probability Risk process Interest model Adjustment coefficient Markov chain |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
