| 利率为马氏链的离散时间风险模型的破产概率(英文) |
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| 引用本文： | 何晓霞,姚春,胡亦钧.利率为马氏链的离散时间风险模型的破产概率(英文)[J].应用概率统计,2012,28(3):270-276. |
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| 作者姓名： | 何晓霞 姚春 胡亦钧 |
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| 作者单位： | 武汉科技大学理学院;武汉大学数学与统计学院 |
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| 基金项目： | Supported by the National Natural Science Foundation of China(10671149);the Foundation of the Hubei Provincial Department of Education(B20091107);Hubei Province Key Laboratory of Systems Science in Metallurgical Process(Wuhan University of Science and Technology)(C201006) |
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| 摘 要： | 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.
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| 关 键 词： | 离散时间风险模型 破产概率 递推方程 Lundberg不等式 |
Ruin Probabilities for the Discrete Risk Models with Markov Chain Interest |
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| He Xiaoxia Yao ChunCollege of Science,Wuhan University of Science and Technology,Wuhan,Hu Yijun.Ruin Probabilities for the Discrete Risk Models with Markov Chain Interest[J].Chinese Journal of Applied Probability and Statisties,2012,28(3):270-276. |
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| Authors: | He Xiaoxia Yao ChunCollege of Science Wuhan University of Science and Technology Wuhan Hu Yijun |
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| Institution: | College of Science, Wuhan University of Science and Technology, School of Mathematics and Statistics, Wuhan University |
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| Abstract: | 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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