非齐次风险模型破产概率的指数界

IF 0.4 4区数学 Q4 STATISTICS & PROBABILITY Probability and Mathematical Statistics-Poland 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。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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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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来源期刊

Probability and Mathematical Statistics-Poland STATISTICS & PROBABILITY-

CiteScore

0.70

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： PROBABILITY AND MATHEMATICAL STATISTICS is published by the Kazimierz Urbanik Center for Probability and Mathematical Statistics, and is sponsored jointly by the Faculty of Mathematics and Computer Science of University of Wrocław and the Faculty of Pure and Applied Mathematics of Wrocław University of Science and Technology. The purpose of the journal is to publish original contributions to the theory of probability and mathematical statistics.

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