随机利率场合下一类离散时间模型的破产概率  

On the ruin probability in the discrete risk model with stochastic interest rate

作　　者：江涛[1] 王家琪[1] 

机构地区：[1]南京财经大学金融学院,江苏南京210003

出　　处：《兰州大学学报（自然科学版）》2004年第4期5-7,共3页Journal of Lanzhou University(Natural Sciences)

基　　金：国家自然科学基金(10071081);国家统计科学研究(LX0317)资助项目

摘　　要：研究了带有随机利率的一个离散时间风险模型中的破产概率,得到了在通货膨胀和通货紧缩条件下关于破产概率的若干定性结果,所得结果推广了常数利率下经典模型的相应结果.A study of ruin probabilities in a discrete time risk model with stochastic rate is made in this paper. Some results for ruin probabilities are obtained in cash inflation and case condensation. Moreover, an iterate formula has also been proposed by which we ruin probabilities in finite time can be calculated. The results obtained generalize the classical models with constant rate.

关 键 词：破产概率 随机利率 随机模拟 

分 类 号：O211.4[理学—概率论与数理统计]