| 利率为马氏链的离散时间风险模型的破产概率(英文) |
| |
| 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 |
| |
| 作者姓名： | 何晓霞 姚春 胡亦钧 |
| |
| 作者单位： | 武汉科技大学理学院;武汉大学数学与统计学院 |
| |
| 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) |
| |
| 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.
|
| 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 |
| |
| 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 |
| |
| Authors: | He Xiaoxia Yao ChunCollege of Science Wuhan University of Science Technology Wuhan Hu Yijun |
| |
| Affiliation: | College of Science, Wuhan University of Science and Technology, School of Mathematics and Statistics, Wuhan University |
| |
| Abstract: | In this paper, we consider a discretetime risk process with random interest force. With the assumptionthat the interest rate process behaves as a Markov chain, we obtainthe recursive equations and integral equations for finite andultimate ruin probabilities, and Lundberg inequalities for theultimate ruin probabilities are also provided. |
| |
| Keywords: | |
| 本文献已被 CNKI 等数据库收录！ |
| 点击此处可从《应用概率统计》浏览原始摘要信息 |
|
点击此处可从《应用概率统计》下载免费的PDF全文 |
