随机利率下变保费的复合二项模型  

The Compound Binomial Model with Varying Premium Income Under Random Interest

作　　者：万义富 

机构地区：[1]南京航空航天大学理学院,江苏南京210016

出　　处：《数学理论与应用》2016年第1期88-96,共9页Mathematical Theory and Applications

摘　　要：本文研究具有随机利率和保费计数为二项过程的离散时间复合二项模型.我们推导出有限时间破产概率的递归式和破产概率的积分方程,并利用归纳法得到破产概率的Lundberg不等式.In this paper, we present a discrete time compound binomial model with stochastic interest rate and varying premium income, which is assumed a binomial process. The recursive equation of finite time ruin prob- ability and the integral equations of ruin probability are reduced, and we also obtain generalized Lundberg ine- quality for ruin probability by inductive approaches.

关 键 词：复合二项模型 随机利率破产概率 LUNDBERG不等式 

分 类 号：O211[理学—概率论与数理统计]