在保费收入可以改变的条件下,利用下鞅的收敛性,得到了破产概率的一个上界。
Under the condition of changing premium, the upbound of ruin probability was obtained by sub-martingale property.
方法在市场无套利条件下建立随机微分方程,运用鞅论、随机分析的方法分析并求解方程。
Methods Build up differential equation under the circumstance of the market no arbitrage. Analyze and work out the solution of equation.
建立了半鞅向量随机积分的一个结果,能方便处理可料过程在向量随机积分意义下对半鞅的分解随可料过程不同而不同的问题。
It establishes a result which can be easily applied to the problem derived from the different predictable process in the decomposition of semimartingales in the sense of vector stochastic integrals.
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