| 随机利率下带干扰的风险模型的破产概率 |
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| 引用本文： | 袁翰林,郑爱明.随机利率下带干扰的风险模型的破产概率[J].泉州师范学院学报,2007,25(4):4-6,11. |
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| 作者姓名： | 袁翰林 郑爱明 |
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| 作者单位： | 福州大学,数学与计算机科学学院,福建,福州,350002 |
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| 基金项目： | 福建省自然科学基金;福州大学校科研和教改项目 |
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| 摘 要： | 在实际金融环境中,大量的保险业问题是包含诸如利息、折现等经济环境因素的,没有考虑利率影响的风险模型只能是一种理想化的模型.由于保险业务往往是一项中长期的金融业务,利息的随机波动是一种自然现象.对此,文章假定累计利息力过程是受标准布朗运动和Poisson过程影响的过程,通过使用鞅方法,得到了带干扰的风险模型的Lundberg基本方程及其破产概率,所得结果推广了常利率下带干扰的风险模型的相关结果.
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| 关 键 词： | 标准布朗运动 泊松过程 随机利率 破产概率 鞅 |
| 文章编号： | 1009-8224（2007）04-0004-03 |
| 修稿时间： | 2007-01-18 |
The Ruin Probability of Risk Model with Interference under Random Interest Force |
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| YUAN Han-lin,ZHENG Ai-ming.The Ruin Probability of Risk Model with Interference under Random Interest Force[J].Journal of Quanzhou Normal College,2007,25(4):4-6,11. |
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| Authors: | YUAN Han-lin ZHENG Ai-ming |
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| Institution: | College of Mathematics and Compute Science,Fuzhou University,Fuzhou, Fujian 350002 ,China |
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| Abstract: | In actual financial environment,a great number of insurance industry problems include such as interest and discount.The risk model which does not consider interest force is only an utopian model.As the insurance business is a long-term financial business,the random motion of the interest is a kind of natural phenomena.So,we model the interest force accumulating process by standard Brownian motion and Poisson process:by martingale approach,we achieve Lundberg's fundamental equation and its ruin probability.The results obtained generalize the Interference Models with constant rate. |
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| Keywords: | standard Brownian motion Poisson process stochastic interest rate ruin probability martingale |
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