随机利率下时间盈余风险模型的破产概率

The ruin probability of the risk model of time surplus with stochastic interest

    摘要
  • 摘要: 考虑了随机利率下的时间盈余过程,并得到相应的破产概率计算公式,所得破产概率比不考虑利率因素的破产概率更接近真实值.

     

    Abstract: The time surplus process with stochastic interest is considered,a corresponding calculate formula is gained so that the corresponding ruin probability is more significance than which without considering stochastic interest.

     

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