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两只债券的至少一次违约概率范围

Bond Default Probability Range

专题
Probability / 概率
难度
L4

题目详情

两只债券各自的违约概率分别为 30% 与 50%。问:至少有一只债券违约的概率可能落在什么范围内?

英文原题

Two bonds have individual default probabilities of 30% and 50%. What is the possible range for the probability that at least one of the two bonds defaults?

解析

设事件 AA、BB 分别表示两只债券违约,P(A)=0.3, P(B)=0.5\mathbb{P}(A)=0.3,\ \mathbb{P}(B)=0.5。

由容斥:

P(A∪B)=P(A)+P(B)−P(A∩B)=0.8−P(A∩B).\mathbb{P}(A\cup B)=\mathbb{P}(A)+\mathbb{P}(B)-\mathbb{P}(A\cap B)=0.8-\mathbb{P}(A\cap B).

而交集概率满足

max⁡{0, P(A)+P(B)−1}≤P(A∩B)≤min⁡{P(A),P(B)},\max\{0,\,\mathbb{P}(A)+\mathbb{P}(B)-1\}\le \mathbb{P}(A\cap B)\le \min\{\mathbb{P}(A),\mathbb{P}(B)\},

即 0≤P(A∩B)≤0.30\le \mathbb{P}(A\cap B)\le 0.3。

因此

0.8−0.3≤P(A∪B)≤0.8−0⇒0.5≤P(A∪B)≤0.8.0.8-0.3\le \mathbb{P}(A\cup B)\le 0.8-0 \Rightarrow \boxed{0.5\le \mathbb{P}(A\cup B)\le 0.8}.

英文解析

Let events AA and BB represent the default of the two bonds, with P(A)=0.3\mathbb{P}(A)=0.3 and P(B)=0.5\mathbb{P}(B)=0.5.

By the inclusion-exclusion principle:

P(A∪B)=P(A)+P(B)−P(A∩B)=0.8−P(A∩B).\mathbb{P}(A\cup B)=\mathbb{P}(A)+\mathbb{P}(B)-\mathbb{P}(A\cap B)=0.8-\mathbb{P}(A\cap B).

The probability of the intersection satisfies

max⁡{0, P(A)+P(B)−1}≤P(A∩B)≤min⁡{P(A),P(B)},\max\{0,\,\mathbb{P}(A)+\mathbb{P}(B)-1\}\le \mathbb{P}(A\cap B)\le \min\{\mathbb{P}(A),\mathbb{P}(B)\},

which implies 0≤P(A∩B)≤0.30\le \mathbb{P}(A\cap B)\le 0.3.

Therefore

$$
0.8-0.3\le \mathbb{P}(A\cup B)\le 0.8-0
\Rightarrow \boxed{0.5\le \mathbb{P}(A\cup B)\le 0.8}.