| Markov相依风险模型的等价定理及概率结构 |
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| 引用本文： | 莫晓云,欧辉,周杰明.Markov相依风险模型的等价定理及概率结构[J].经济数学,2012(1):61-64. |
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| 作者姓名： | 莫晓云 欧辉 周杰明 |
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| 作者单位： | 湖南师范大学数学与计算机科学院;湖南财政经济学院 |
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| 基金项目： | 国家自然科学基金项目(10871064,11171101);教育部高校博士点基金项目(20104306110001) |
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| 摘 要： | 严格定义了Markov相依风险模型.证明了该模型的一个等价定理,使得Markov相依风险模型中的诸过程之间的关系更清晰.获得了Markov相依风险模型的概率结构,构造性地证明了该模型的存在定理.
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| 关 键 词： | Markov相依风险模型 等价定理 Markov链 概率结构 组装法 |
Equivalence Theorem and Probabilistic Structure for Markov-Dependence Risk Model |
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| MO Xiao-yun,OU Hui,ZHOU Jie-ming.Equivalence Theorem and Probabilistic Structure for Markov-Dependence Risk Model[J].Mathematics in Economics,2012(1):61-64. |
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| Authors: | MO Xiao-yun OU Hui ZHOU Jie-ming |
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| Institution: | 1(1.College of Mathematics and Computer Sclence,Hunan Normal University,Changsha,Hunan 410081; 2.Hunan University of Finance and Economics,Changsha,Hunan 410205) |
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| Abstract: | The Markov-dependent risk model was defined rigorously.The equivalence theorem of this model was proved,which makes the relationships of the stochastic processes among Markov-dependent risk model more clear.Probabilistic structure of the Markov-dependent risk model was obtained,and the existence theorem of this model was proved constructively. |
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| Keywords: | Markov-dependence risk model Equivalence theorem Markov chain Probabilistic Structure |
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