| Markov链利率风险模型下破产概率的近似计算 |
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| 引用本文： | 宗志迅,李志民,郭红财.Markov链利率风险模型下破产概率的近似计算[J].南通大学学报(自然科学版),2012,11(3):55-60. |
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| 作者姓名： | 宗志迅 李志民 郭红财 |
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| 作者单位： | 安徽工程大学数理学院,安徽芜湖,241000 |
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| 基金项目： | 安徽省自然科学基金项目(10040606Q03) |
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| 摘 要： | 基于带Markov链利率的离散时问风险模型和Markov链将来利率与过去利率的独立性，假设个体净风险是重尾分布的，利用全概率公式和递推方法，得到该风险模型下有限时间破产概率的近似表达式,并在个体净风险是Pareto分布时,利用Matlab软件数值模拟近似值．
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| 关 键 词： | Markov链 利率 离散时间风险模型 有限时间破产概率 |
Approximation for Ruin Probability in Risk Model with Markov Chain Interest Rate |
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| Authors: | ZONG Zhi-xun LI Zhi-min GUO Hong-cai |
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| Institution: | (School of Mathematics and Physics,Anhui Polytechnic University,Wuhu 241000,China) |
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| Abstract: | Based on a discrete time risk model with Markov chain interest and a Markov chain reflecting the independence of future interest rates and the past rate,the individual net risk is heavy tailed that is presumed,the approximate expressions of the finite time ruin probability in this risk model by the full probability formula and the recurrence method are obtained.When the distribution of individual net risk belongs to Pareto,numerical approximation by using the software MATLAB are presented. |
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| Keywords: | Markov chain interest rate discrete time risk model finite time ruin probability |
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