| 随机利率下保险公司破产概率的推断 |
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| 引用本文： | 孙宗岐,;刘宣会. 随机利率下保险公司破产概率的推断[J]. 西北纺织工学院学报, 2008, 0(3): 362-365 |
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| 作者姓名： | 孙宗岐, 刘宣会 |
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| 作者单位： | [1]西安工程大学理学院,陕西西安710048 |
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| 基金项目： | 陕西省教育厅自然科学基金资助项目（07KJ252） |
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| 摘 要： | 将盈余过程推广为跳-扩散模型,同时假设利率服从扩散过程,并在随机利率下运用二维Ito公式以及鞅方法研究破产概率的推断问题,最后得到了破产概率满足的一个二阶偏微分方程.
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| 关 键 词： | 破产概率 随机利率 盈余过程 跳-扩散模型 鞅 |
Inferring the ruin probability under stochastic interest rate for an Insurance Company |
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| Affiliation: | SUN Zong-qi , LIU Xuan-hui (School of Science, Xi＇an Polytechnic University, Xi＇an 710048,China) |
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| Abstract: | The reserve process was deduced to a jump-diffusion model, and it is supposed that interest rate to a stochastic process satisfied diffusion model, Using the spread Ito formula and martingale, the inference problem of ruin probability was researched under stochastic interest rate. A second-order partial differential equation which satisfied by the ruin probability is obtained. |
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| Keywords: | ruin probability stochastic interest rate reserve process jump-diffusion model martingale |
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