UPPER BOUND FOR FINITE-TIME RUIN PROBABILITY IN A MARKOV-MODULATED MARKET  

作　　者：Jinzhu LI Rong WU 

机构地区：[1]School of Mathematical Sciences and LPMC, Nankai University, Tianjin 300071, China.

出　　处：《Journal of Systems Science & Complexity》2011年第2期308-316,共9页系统科学与复杂性学报（英文版）

摘　　要：This paper studies the upper bound for finite-time ruin probability of an insurance company which invests its wealth in a stock and a bond. The authors assume that the interest rate of the bond and the volatility of the stock are modulated by a continuous-time stationary Markov chain with finite state. By a pure probabilistic method, the upper bound for the finite-time ruin probability is obtained.

关 键 词：Finite-time ruin probability jump-diffusion model Markov-modulated process. 

分 类 号：O211.1[理学—概率论与数理统计] TP393.4[理学—数学]