利率为马氏链的离散时间风险模型的破产概率
리솔위마씨련적리산시간풍험모형적파산개솔
Ruin Probabilities for the Discrete Risk Models with Markov Chain Interest
  • 万方数据
    应用概率统计 응용개솔통계
    CHINESE JOURNAL OF APPLIED PROBABILITY AND STATISTICS
    2012年 3期 270-276 ,共7页

    何晓霞%姚春%胡亦钧

    하효하%요춘%호역균

    离散时间风险模型%破产概率%递推方程%Lundberg不等式 離散時間風險模型%破產概率%遞推方程%Lundberg不等式
    리산시간풍험모형%파산개솔%체추방정%Lundberg불등식
    Discrete-time risk model%ruin probability%recursive equation%Lundberg inequalities
    本文考虑了带随机利率的离散时间风险模型.在假设利率为马氏链条件下,得到了有限时间和最终破产概率所满足的递推积分方程,以及最终破产概率的Lundberg不等式.
    본문고필료대수궤리솔적리산시간풍험모형.재가설리솔위마씨련조건하,득도료유한시간화최종파산개솔소만족적체추적분방정,이급최종파산개솔적Lundberg불등식.
    In this paper,we consider a discrete time risk process with random interest force.With the assumption that the interest rate process behaves as a Markov chain,we obtain the recursive equations and integral equations for finite and ultimate ruin probabilities,and Lundberg inequalities for the ultimate ruin probabilities are also provided.
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