利率为马氏链的离散时间风险模型的破产概率(英文)  

Ruin Probabilities for the Discrete Risk Models with Markov Chain Interest

作　　者：何晓霞[1] 姚春[1] 胡亦钧[2] 

机构地区：[1]武汉科技大学理学院,武汉430065 [2]武汉大学数学与统计学院,武汉430072

出　　处：《应用概率统计》2012年第3期270-276,共7页Chinese Journal of Applied Probability and Statistics

基　　金：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.In this paper, we consider a discrete time risk assumption that the interest rate process behaves as tions and integral equations for finite and ultimate for the ultimate ruin probabilities are also provided process with random interest force. With the a Markov chain, we obtain the recursive equa- ruin probabilities, and Lundberg inequalities

关 键 词：离散时间风险模型 破产概率 递推方程 Lundberg不等式. 

分 类 号：O211.67[理学—概率论与数理统计]