变利率风险模型下破产概率的渐近估计

摘要

本文考虑变利率的离散时间风险模型的破产概率．在个体净损失服从ERV族和DnL族时，分别得到了有限时间和无限时间破产概率的渐近估计及上下界表达式，并利用matlab软件对有限时间破产概率的下界进行了数值模拟．%In this paper, we consider a risk model with variable interest rates. The asymptotic estimation and the up per and lower bounds of the finite time ruin probability and the infinite ruin probability related to the model are ob tained when the distribution of the individual net loss is of ERV type or D f~ L type. The numerical simulation is car fled out for the lower bound of the finite time ruin probability by using the MATLAB software.