| 马氏利率下相关险种的离散风险建模和破产概率 |
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| 引用本文： | 唐胜达 王伟 邹捷中. 马氏利率下相关险种的离散风险建模和破产概率[J]. 数学理论与应用, 2006, 26(4): 72-74 |
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| 作者姓名： | 唐胜达 王伟 邹捷中 |
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| 作者单位： | 中南大学数学学院，中南大学数学学院，中南大学数学学院 长沙，410075，长沙，410075，长沙，410075 |
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| 摘 要： | 在随机利率服从有限齐次Markov链下,建立相关险种离散风险模型,采用递推方法得到了有限时间破产概率的递推等式和最终破产概率的积分等式;给出了有限时间破产概率和最终破产概率的上界,导出了破产时刻余额分布的计算等式.
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| 关 键 词： | 破产理论 关险种 Markov链 随机利率 破产概率 递推等式 |
| 收稿时间： | 2005-10-05 |
The Discrete time Model with Multi-type Correlated Claims Under the Stochastic Interest and Ruin Probabilites |
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| Tang Shengdao ,Wan Wei ,Zou Jiezhong. The Discrete time Model with Multi-type Correlated Claims Under the Stochastic Interest and Ruin Probabilites[J]. Mathematical Theory and Applications, 2006, 26(4): 72-74 |
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| Authors: | Tang Shengdao Wan Wei Zou Jiezhong |
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| Affiliation: | Department of Mathematie, ,Central South University ,Changsha, 410075 |
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| Abstract: | In this paper,we build a discrete time risk model to study the multi-type correlated claims under the stochastic interest following a finite Markov chain.By using the recursive method.We get the recursive equation satisfied by the finite ruin probability and the integral equation satisfied by the ultimate ruin probability,these upper bounds for finite and ultimate ruin probabilities are obtained,we also derive the equation to severity of ruin. |
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| Keywords: | ruin theory correlated claim Markov chain stochastic interest ruin probability recursive equation |
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