| 带马氏利率的离散时间风险模型的破产概率 |
| |
| 引用本文： | 李娜芝,刘庆平.带马氏利率的离散时间风险模型的破产概率[J].数学理论与应用,2009(4):6-9. |
| |
| 作者姓名： | 李娜芝 刘庆平 |
| |
| 作者单位： | 中南大学数学与计算技术学院,长沙410075 |
| |
| 摘 要： | 本文考虑一类保费和理赔额均为随机变量，且利率为马氏链的离散时间风险模型。推出了有限时间和最终时间破产概率的递归方程，并用归纳法得到了最终时间破产概率的上界表达式。
|
| 关 键 词： | 离散风险过程 马氏科夫链 破产概率 利率 |
Ruin Probabilities for Discrete Time Risk Models with Markov Interest Rates |
| |
| Li Nazhi Liu Qingping.Ruin Probabilities for Discrete Time Risk Models with Markov Interest Rates[J].Mathematical Theory and Applications,2009(4):6-9. |
| |
| Authors: | Li Nazhi Liu Qingping |
| |
| Institution: | Li Nazhi Liu Qingping (School of Mathematical Science and Computing Technology,Central So uth University,Changsha,410075) |
| |
| Abstract: | In this paper,we consider a discrete time model with random premium income,random claim amount and Markov interest rates.Recursive and integral equations for its finite and ultimate time ruin probabilities are derived,and a upper bound for the ultimate time ruin probability is obtained by inductive approaches. |
| |
| Keywords: | Discrete time risk process Markov chain Ruin probabilities In terest rates |
| 本文献已被 CNKI 维普 等数据库收录！ |
