论文标题
在离散的布朗风险模型中的破坏概率和破坏时间的近似
Approximation of ruin probability and ruin time in discrete Brownian risk models
论文作者
论文摘要
我们分析了讨论毁灭概率（经典，γ反射，巴黎和累积巴黎人）的近似的经典布朗风险模型，以便仅在特定的离散网格上发生毁灭。点的实用和自然网格是例如g（1）= {0,1,2，...}，它使我们能够在第一天，第二天，第二天等研究废墟的概率。对于这样的离散设置，上面提到的废墟概率没有明确的公式。在这项贡献中，我们通过让初始资本生长到无穷大，从而得出了均匀网格的破坏概率的准确近似值。
We analyze the classical Brownian risk models discussing the approximation of ruin probabilities (classical, γ-reflected, Parisian and cumulative Parisian) for the case that ruin can occur only on specific discrete grids. A practical and natural grid of points is for instance G(1) = {0,1,2,...}, which allows us to study the probability of the ruin on the first day, second day, and so one. For such a discrete setting, there are no explicit formulas for the ruin probabilities mentioned above. In this contribution we derive accurate approximations of ruin probabilities for uniform grids by letting the initial capital to grow to infinity.
